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Dang.D · 2020年10月09日

问一道题:NO.PZ2016031001000126

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:

ApproxCon=[PV+PV+(2×PV0)]/(ΔYield2  ×  PV0)ApproxCon=\lbrack PV_-+PV_+-(2\times PV_0)\rbrack/(\Delta Yield^{2\;}\times\;PV_0)

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

 = [98.782 + 98.669(2×98.722)]/(0.0012×98.722)\text{ }=\text{ }\lbrack98.782\text{ }+\text{ }98.669-(2\times98.722)\rbrack/(0.001^2\times98.722)

 = 70.906\text{ }=\text{ }70.906

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


1 个答案

WallE_品职答疑助手 · 2020年10月09日

同学您好,

是的哈,就是那个变化的10 basis point