NO.PZ2021120102000011
问题如下：
A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.
The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.
The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.
Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?
选项：
A.Yes.
No, the bond price should decrease.
No, the bond price should increase.
解释：
B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.
For
the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate
percentage price change resulting from the increase
in interest rates is –8.47 × 0.0020 = –1.694%.
The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%
题目里面说The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps。
根据△Yc=△Yb+spread这个公式，我理解这里是说△Yc=20bps，是由于spread增加了20bps引起的，这里的△Yb应该是=0的。
同时，Modified Duration衡量的是YTM（不是benchmark rate）变动带来的价格影响，所以这道问题实际是考察YTM变动和spread 变动带来的价格差异，而不是benchmark rate变动和spread 变动带来的价格差异。
债券价格整体变动应该就是-1.69%，而不是答案解释中的-3.338%
老师，我的理解对吗？
