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PoppyHu · 2020年08月18日

问一道题:NO.PZ2016031001000128

问题如下:

A bond has an annual modified duration of 7.140 and annual convexity of 66.200. The bond’s yield-to-maturity is expected to increase by 50 basis points. The expected percentage price change is closest to:

选项:

A.

–3.40%.

B.

–3.49%.

C.

–3.57%.

解释:

B is correct.

The expected percentage price change is closest to −3.49%. The convexity adjusted percentage price change for a bond given a change in the yield-to-maturity is estimated by:

%ΔPVFull[AnnModDur×ΔYield]+0.5×AnnConverxity×(ΔYield)^2

%ΔPVFull[7.14×0.005]+0.5×66.2×(0.005)^2

= -0.034873 or -3.49%

你好,請問問這條題目是不是計算數字錯了?MD應該是7.140,所以算出來的答案應該是0.036528呀

2 个答案
已采纳答案

吴昊_品职助教 · 2020年08月20日

YTM上升50bp,△y是正数。YTM下降的话,△y是负数。

吴昊_品职助教 · 2020年08月18日

同学你好:

这道题答案没有问题哦,%ΔPVFull≈ -D×△y+0.5×C×(△y)^2=[−7.14×0.005]+0.5×66.2×(0.005)^2= -0.0357+0.0008275= -0.0348725