问题如下:
7. Based on Exhibit 1, the results of Analysis 2 should show the yield on the five-year bond:
选项:
A. decreasing by 0.8315%.
B. decreasing by 0.0389%.
C. increasing by 0.0389%.
解释:
C is correct.
Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a one standard deviation decrease in both the level factor and the curvature factor will lead to the yield on the five-year bond increasing by 0.0389%, calculated as follows:
Change in five-year bond yield = 0.4352% - 0.3963% = 0.0389%.
看了其他提问还是没有理解,根据公式yield变化与Duration应该是反向的,算出来答案是正的,那不是还要取负号吗?麻烦再解释一遍。