问一道题：NO.PZ2018062006000124

问题如下：

An annual coupon bond with a 5% coupon rate has a yield-to-maturity of 7%, and there are four years to its maturity from now. The estimated price value of a basis point for the bond is:

选项：

0.0078.

0.0325.

0.0569.

解释：

B is correct.

If the YTM decreases by 1bp, the price of the bond is:

PMT = 5, FV=100, I/Y=6.99%，N=4 ，CPT → PV = - 93.258

If the YTM increases by 1bp, the price of the bond is:

PMT = 5, FV=100, I/Y=7.01%，N=4 ，CPT → PV = - 93.193

PVBP of the bond is:

[(PV-) - PV(+)]/2 = 93.258 - 93.193 / 2 =0.0325

I/Y 如果有YTM就用YTM，没有就用CR 对吗？

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1 个答案

吴昊_品职助教 · 2020年03月16日

不是，I/Y是折现率，不是coupon rate。

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NO.PZ2018062006000124 问题如下 annucoupon bonwith a 5% coupon rate ha yielto-maturity of 7%, anthere are four years to its maturity from now. The estimateprivalue of a basis point for the bonis: A.0.0078. B.0.0325. C.0.0569. B is correct.If the YTM creases 1bp, the priof the bonis:PMT = 5, FV=100, I/Y=6.99%，N=4 ，CPT → PV = - 93.258If the YTM increases 1bp, the priof the bonis:PMT = 5, FV=100, I/Y=7.01%，N=4 ，CPT → PV = - 93.193PVof the bonis:[(PV-) - PV(+)]/2 = [93.258 - 93.193] / 2 =0.0325 考点PVBP解析PVBP衡量的是利率变化1bp，带来的债券价格变化。分别算出利率下降1个bp的债券价格PV-(93.258)和利率上升一个bp的债券价格PV+(93.193)，两者相减再除以2，即可得PVBP=0.0325，故B正确。没说FV=100啊？

2022-10-29 01:37 1 · 回答

NO.PZ2018062006000124 0.0325. 0.0569. B is correct. If the YTM creases 1bp, the priof the bonis: PMT = 5, FV=100, I/Y=6.99%，N=4 ，CPT → PV = - 93.258 If the YTM increases 1bp, the priof the bonis: PMT = 5, FV=100, I/Y=7.01%，N=4 ，CPT → PV = - 93.193 PVof the bonis: [(PV-) - PV(+)]/2 = 93.258 - 93.193 / 2 =0.0325 只求pv-和pv0，然后相减，得到大概数字，这样判断对吗

2021-05-12 09:58 1 · 回答

题目中没有说YTM的变化率啊？？？

2020-01-14 17:30 1 · 回答

这题怎样计算？

2020-01-14 17:22 1 · 回答

问一道题：NO.PZ2018062006000124

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