问题如下:
If the market discount rates for all three bonds increase by 50 basis points, which bond will experience the smallest decrease in the percentage of price?
选项:
A.Bond A
B.Bond B
C.Bond C
解释:
B is correct.
Bond A and bond B has the same time to maturity, but B has a higher coupon rate. So the duration of bond A is higher than that of bond B.
Bond A and bond C has the same coupon rate, but C has a longer time to maturity. So the duration of bond A is lower than that of bond C.
C's duration > A's duration > B's duration, bond B will experience the smallest decrease in the percentage of price.
请问,在不做具体计算的情况下,比较A和C的久期,为什么没有考虑YTM不同对久期的影响?虽然C期限更长,但是C的YTM也比较高,在两种因素的影响下,如何直接判断哪个影响更大?