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咖啡巧克力 · 2024年08月09日

premium

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?

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品职答疑小助手雍 · 2024年08月10日

同学你好,不应该都是溢价,我反馈下把那句each trading at a premium删掉,不影响整体做题。

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