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