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绿水精灵 · 2025年02月14日

这题不是semi-annual的支付频率吗？

  1. CFA I
  2. Fixed Income

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NO.PZ202305230100004904

问题如下：

A portfolio manager is assessing the interest rate risk of three bonds as she considers making an investment of USD50 million. All three bonds are issued on 1 June 2026 and mature on 1 June 2030, and they have the following characteristics:



If the yields-to-maturity for all three bonds were to increase by 100 bps, which bond has the greatest anticipated decrease in price?

选项：

A.

Bond One

B.

Bond Two

C.

Bond Three

解释：

B is correct.


这题不是semi-annual的支付频率吗？貌似老师有图的那张计算是annual payment的频率算的，结果不影响，对吗？

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笛子_品职助教 · 2025年02月14日

嗨，爱思考的PZer你好：


这题不是semi-annual的支付频率吗？貌似老师有图的那张计算是annual payment的频率算的，结果不影响，对吗？

Hello，亲爱的同学~

前面几个小问已经有了一些数据，债券1的麦考利久期是3.59，因此modified duration = 3.59/(1+1.5%) = 3.54；债券2的modified durtaion直接算过是3.65；债券3的modified duration = 3.5851，所以选债券2。

这里年化的modified duration = 年化的MacD / (1+半年期的收益率），这样的计算是允许的，不影响结果。

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努力的时光都是限量版，加油！

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