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tongtonggong · 2020年10月12日

问一道题:NO.PZ201701230200000307 第7小题 [ CFA II ]

* 问题详情,请 查看题干

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。
1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年10月12日

同学您好,

这和yield变化与Duration应该是反向没有关系。

这题就考的是level,curvature一个标准差的变化带给债券收益的变化。

表1代表的都是1个正的标准差会带来的影响,现在根据文章描述对应的地方取反就好了。

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