价格的变化率可以不考虑符号,直接都用正数计算吗?
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ2016031002000051 问题如下 Assuming ththe yielfalls 90 basis points, what's the percentage of the prichange of a bonwith a mofieration of 9.6? A.10.67%. B.-8.64%. C.8.64%. C is correct.考点ration解析本题中利率下降了90bps,即下降了0.9%,所以△y为 -0.9%,ration为9.6,代入公式即可△P/P= - ration × △y= - 9.6 × (-0.9%)=8.64%,故C正确。 如题
NO.PZ2016031002000051 请问为什么直接乘就可以?
-8.64%. 8.64%. C is correct. Correanswer: (-9.6)x (-0.90%)=8.64% Incorreanswer: 9.6x (-0.90%)= -8.64% (-9.6)/ (-0.90%)=10.67% mofieration=macaulration/(1+r)这道题不理解
我就想问一下,ration一般指的都是mofieration是么
解题时,请问如何排除mofieration的影响?很容易代入mofieration的公式里,最后算出macaulay公式久期