问题如下:
A bond is currently trading for 98.722 per 100 of par value. If the bond’s yield-to-maturity (YTM) rises by 10 basis points, the bond’s full price is expected to fall to 98.669. If the bond’s YTM decreases by 10 basis points, the bond’s full price is expected to increase to 98.782. The bond’s approximate convexity is closest to:
选项:
A.0.071.
B.70.906.
C.1,144.628.
解释:
B is correct.
The bond’s approximate convexity is closest to 70.906. Approximate convexity
(ApproxCon) is calculated using the following formula:
where:
PV_ = new price when the yield-to-maturity is decreased
PV+ = new price when the yield-to-maturity is increased
PV0 = original price
ΔYield = change in yield-to-maturity
ApproxCon
ΔYield = change in yield-to-maturity,这个变化量就是指YTM上升或者下降的那个变化值么