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罗嘟嘟 · 2024年11月02日

1,2 为什么是1更短 一半年付 前期的金额明显更多啊

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000061

问题如下：

A bond portfolio consists of five bonds:

Bond 1: 5%, annual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 2: 5%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 3: A zero-coupon bond with a 10-year maturity and a yield of 4.5%.

Bond 4: 4%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 5: 5%, annual-pay bond with a 10-year maturity and a yield of 5.5%.

Which of the following statements about these bonds is Correct?

选项：

A.

Bond 1 has a shorter duration than Bond 2.

B.

The Macaulay duration of Bond 3 is five years.

C.

Bond 4 has a shorter duration than Bond 2.

D.

The DV01 of Bond 5 is lower than the DV01 of Bond 1.

解释：

D is correct.

考点 ： Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析 ： Increasing the yield will lower the DV01. Since Bond 5 has a higher yield than Bond 1, it must have a lower DV01. Choice B is incorrect. The Macaulay duration of a zero-coupon bond will be equal to its maturity Choices A and C are incorrect. All else equal, a semiannual-pay bond will have a shorter duration than an annual-pay bond, so Bond 2 has a shorter duration than Bond 1. A premium bond will have a shorter duration than a discount bond, so Bond 2 will have a shorter duration than Bond 4.

半年付靠前的金额就翻了一倍

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1 个答案

pzqa27 · 2024年11月04日

嗨，努力学习的PZer你好：


Bond1付利息的频率比bond2更低，所以应该是bond1久期大一些。久期可以近似看成现金流的平均到期期限，付利息的时间长，平均的现金流到期期限就更长。

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努力的时光都是限量版，加油！

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