问题如下:
If the yield curve drops by 150 basis points at all maturities, the value of which bonds will increase most?
选项:
A.A 15 years bond with YTM of 6%.
B.A 30 years bond with YTM of 6%.
C.A 30 years bond with YTM of 8%.
解释:
B is correct.
The longer duration a bond has, the more price will increase when yield decreases.The longer maturity and the lower YTM a bond has, the longer the duration will be.
这个题我们应该找duration最大的呀,高的YTM会导致低的Duration,为不是不选6%呢?