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!