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张嫱zhangqiang · 2018年10月13日

问一道题:NO.PZ2016031001000059 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


请问这个问题中问的 the smallest percent change in price 就是问哪种情况duration 最小是么 

2 个答案

V哥_品职助教 · 2018年10月14日

percent change in price if market discount rate increase就是价格对利率的敏感性,就是duration。

你说的对,就是duration的性质,所有同时涉及债券价格和利率的题目,请首先用duration的思路解答,基本可行。Duration相同,再考虑convexity。

张嫱zhangqiang · 2018年10月13日

追加:所以这道题就是考察duration的几点性质是吧 

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NO.PZ2016031001000059 问题如下 Whibonwill most likely experienthe smallest percent change in priif the market scount rates for all three bon increase 100 basis points? A.Bon B.Bon C.Bon B is correct.BonB will most likely experienthe smallest percent change in priif market scount rates increase 100 basis points. A higher-coupon bonha smaller percentage prichange tha lower-coupon bonwhen their market scount rates change the same amount (the coupon effect). Also, a shorter-term bongenerally ha smaller percentage prichange tha longer-term bonwhen their market scount rates change the same amount (the maturity effect). BonB will experiena smaller percent change in prithBonA because of the coupon effect. BonB will also experiena smaller percent change in prithBonC because of the coupon effeanthe maturity effect.考点maturity effe coupon effect解析maturity effect表明,对于coupon rate一样的债券,maturity较大的债券,其价格改变较大,在债券A和C中,我们排除C。coupon effect表明,对于maturity一样的债券,coupon rate较小的债券,其价格改变较大,在债券A和B中,排除A。故B正确。 请教如何用YTM的公式,判断coupon rate的影响

2022-10-24 22:09 1 · 回答

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2021-04-29 10:33 2 · 回答

B 和 C 的利率并不相等,如何比较 maturity?

2020-11-25 05:54 1 · 回答

这题140页的知识点老师视频当时说学过后面的回头讲的啊,这章学完了也没讲啊,不知道讲解是不是还在后面

2019-11-02 01:43 1 · 回答

老师这道题在讲义第几页啊

2019-09-28 10:28 1 · 回答