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一只可爱的猪 · 2020年03月01日

问一道题:NO.PZ2018062010000012

问题如下:

Assume the price of a bond is expected to increase by 3% with a 80-basis-points decrease of market discount rate. If the bond price now decreases by 3%,the bond's market discount rate is most likely to pick up by:

选项:

A.

80 basis points.

B.

more than 80 basis points.

C.

less than 80 basis points.

解释:

B is correct.

The bond's market discount rate is most likely to change by more than 80 basis points due to positive convexity of  the bond.

这类题目总是错,老师有没有好的思考方法?绕弯多了容易错

1 个答案

吴昊_品职助教 · 2020年03月02日

这类题目只需要记住convexity给债券价格带来的是涨多跌少即可。记住,这里多少针对的都是债券价格,当利率变动幅度相同时,利率下降使债券价格上涨幅度大于利率上升使债券价格下跌幅度。当利率下降80bps,债券价格上升3%,所以当利率上升80bps,债券价格下降小于3%。因此,如果债券价格下降3%,则利率上升的幅度要大于80bps才可以。