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Amy-Lily · 2024年11月07日

老师好,这道题可以解释一下吗,谢谢您

NO.PZ2023120801000095

问题如下:

There are currently two Large-Cap Company bonds on the market to purchase, both with one-year maturities. Bond A is a non-callable bond while Bond B is a callable bond. A colleague asks whether you also considered looking at the key rate durations when comparing the interest rate risks of Bond A and Bond B. Would research into key rate durations for Bond A and Bond B help you make a better decision about the interest rate risk of the two bonds?

选项:

A.

Yes

B.

No

C.

Inconclusive

解释:

Correct Answer: B

Since both bonds mature in one year, key rate duration analysis would not give you any additional insight, since both bonds would undergo the same shift in the curve.

如题

1 个答案

笛子_品职助教 · 2024年11月07日

嗨,爱思考的PZer你好:


这道题考查关键利率久期的知识点,主要是考查定义。


结合上图画线部分内容:

key rate durtaion对于衡量收益率曲线非平行移动较好,非平行移动就是指:各个利率点利率变化幅度不同。


结合本题:

现在两个债券都是一年后到期,也就是都只有一笔现金流,那对应只有一个关键利率点。

那研究key rate durtaion并没有啥优势,所以不能给我们带来 better decision,选B。

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