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红豆生南国 · 2020年03月05日

问一道题:NO.PZ2016031001000062

问题如下:

Which bond will most likely experience the greatest percentage change in price if the market discount rates for all three bonds increase by 100 basis points?

选项:

A.

Bond A

B.

Bond B

C.

Bond C

解释:

A is correct.

Bond A will likely experience the greatest percent change in price due to the coupon effect and the maturity effect. For two bonds with the same time-to-maturity, a lower-coupon bond has a greater percentage price change than a higher-coupon bond when their market discount rates change by the same amount. Generally, for the same coupon rate, a longer-term bond has a greater percentage price change than a shorter-term bond when their market discount rates change by the same amount. Relative to Bond C, Bond A and Bond B both offer the same lower coupon rate of 6%; however, Bond A has a longer time-to-maturity than Bond B. Therefore, Bond A will likely experience the greater percentage change in price if the market discount rates for all three bonds increase by 100 basis points.

老师 请解释一下这个概念

1 个答案

吴昊_品职助教 · 2020年03月05日

题目问的是在市场利率增长100bp的情况下,哪一个债券的价格变化最大。换言之问的就是哪一个债券的duration最大。duration衡量的就是债券价格对于利率的敏感程度。

先比较B、C,两个债券maturity相同,coupon rate越小,duration越大,因此B的duration较大。coupon rate越小,期间还款越少,平均还款期越长,duration越大。

再比较A、B,两个债券coupon rate相同,maturity越大,duration越大,因此A的duration较大。

所以三者之间,A的duration最大。