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徐认认xt1102 · 2020年01月23日

问一道题:NO.PZ2016031001000123

问题如下:

Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest?

选项:

A.

Bond A

B.

Bond B

C.

Bond C

解释:

B is correct.

Bond B has the greatest money duration per 100 of par value. Money duration

(MoneyDur) is calculated as the annual modified duration (AnnModDur) times the full price

(PVfull) of the bond including accrued interest. Bond B has the highest money duration per 100 of par value.

MoneyDur = AnnModDur × PVfull

MoneyDur of Bond A = 5.42 × 85.00 = 460.70

MoneyDur of Bond B = 8.44 × 80.00 = 675.20

MoneyDur of Bond C = 7.54 × 85.78 = 646.78

请问一下这个知识点是在什么地方。谢谢!

1 个答案

吴昊_品职助教 · 2020年01月23日

嗨,努力学习的PZer你好:


这道题的考点是money duration,具体参考基础班讲义P303页。money duration的含义就是利率变动1%,价格变动多少dollar。


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努力的时光都是限量版,加油!