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Yvonne0719 · 2024年06月14日

请问这个知识点在哪里?看不懂题目和答案的意思

NO.PZ2023052301000021

问题如下:

Exceptions to the maturity effect exist for bonds that have:

选项:

A.

long maturities, make small coupon payments, and trade at a discount.

B.

short maturities, have high coupon rates, and trade at a discount.

C.

long maturities, have high coupon rates, and trade at a premium.

解释:

A is correct. Exceptions to the maturity effect are rare and occur only for low-coupon (but not zero-coupon) long-term bonds trading at a discount.

B is incorrect because the maturity effect holds for bonds that have short maturities and high coupons.

C is incorrect because the maturity effect always holds on bonds priced at a premium above par value.

请问这个知识点在哪里?看不懂题目和答案的意思

1 个答案

吴昊_品职助教 · 2024年06月15日

嗨,爱思考的PZer你好:


1、本题考察的是maturity effect的例外情况。结论可以参考基础班讲义P141页。

2、maturity effect指的是期限越长,duration越大,价格对于利率变化更敏感。那么题目要我们找到的是maturity effect不成立的情况,也就是期限越长,duration不一定越大。我们看下图,横坐标是期限,纵坐标是duration。我们看下图中的折价债券(coupon少),它的duration一开始随着maturity的增加而增加,但是到了某一个点出现了反转,maturity再增加一点点,它的duration不增反降了。所以discount bond,即折价发行的债券在我画红框的区域里违反了maturity effect的特性。所以这道题选A,长期的折价债券会违反maturity effect,是maturity effect的例外情况。


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