NO.PZ2023090201000093
问题如下:
An analyst gathers the following information about three option-free bonds, each trading at a premium. All else being equal, the bond with the lowest Macaulay duration is most likely:
选项:
A.Bond 1.
B.Bond 2.
C.Bond 3.
解释:
C is correct.
A higher coupon rate or a higher yield-to-maturity reduces the duration measures. A longer time-to-maturity usually leads to a higher duration. It always does so for a bond priced at a premium or at par value." In this case, Bond 3 has a higher coupon, the same or higher yield-to-maturity, and the shortest time to maturity. It therefore has the lowest Macaulay duration.
考点:Macaulay duration
解析:更高的coupon rate或者更高的YTM会降低债券的duration。而更长的到期期限会增加债券的duration。三个债券中,Bond 3有最高的coupon rate,最高的YTM以及最短的到期期限,因此,Bond 3的duration最低,故选项C正确。
当coupon rate等于 YTM,是如何以溢价发行的呢?