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月之流离 · 2020年04月15日

问一道题:NO.PZ2016031002000053

问题如下:

There is a bond with the effective duration of 11 and the convexity of 120. If the yield falls by 200 basis points, what's the percentage of the price change of the bond?

选项:

A.

19.6%

B.

24.4%

C.

26.8%

解释:

B is correct.

Correct answer:

the percentage of the price change= -effective duration * (ΔYTM)+(1/2) * convexity * (ΔYTM)2 = (-11)*(-2%)+(1/2) * 120 * (2%)2 =0.244=24.4%

Incorrect answer:

the percentage of the price change= -effective duration * (ΔYTM)+convexity * (ΔYTM)2 = (-11)*(-2%)+120 * (2%)2 =0.268=26.8%

the percentage of the price change= -effective duration * (ΔYTM)+(1/2) * (-convexity) * (ΔYTM)2 = (-11)x(-2%)+(1/2)x (-120)x (2%)2 =0.196=19.6%

effective duration 与 convexity之间的关联公式是什么?二者如何转换?

1 个答案

WallE_品职答疑助手 · 2020年04月16日

这里的考点并不是duration和convexity的公式联系是什么。而是问你duration和convexity对价格的影响。

两者的公式如下图