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cmm231 · 2025年01月18日

12Y的yield 2.8

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001404

问题如下：

Anactive portfolio manager observes the following market information related toan outstandingcorporate bond and two on-the-run government bonds that pay annual coupons:


The portfolio manager also observes 10-year and 20-year swapspreads of 0.20% and 0.25%, respectively.


Estimate the corporate bond’s percentage price change if thegovernment yield curve steepens, assuming a 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread.

选项：

A.

–0.40%

B.

0.40%

C.

–0.04%

解释：

A is correct. The 20 bp increase in the 20-yeargovernment YTM causes the 12-year interpolated government YTM to rise 4 bps to 1.98%(or (80% × 1.85%) + (20% × 2.50%)).

Thecorporate bond percentage price change can be estimated based on the YTM changemultiplied by modified duration (–ModDur ×ΔYield) familiar from earlier lessons. This percentage price change can becalculated as –0.4% (=–9.99 × 0.04%).

解析第一步20Y改变之后计算12Y插值法1.98我理解 第二步哪里来的0.4？是默认已经算了原来的12Y是1.94所以得出的差额吗？ 为什么不能减原来的12Y的yield 2.8？

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