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FrankSun · 2020年11月08日

2019年MockB下午97

The Delfain Corporation reported a significant improvement in profitability that was followed by a material upgrade in its credit rating. The market responded by immediately requiring a 100 basis point narrower spread to Gilts on Delfain’s 8-year bond. If the bond’s modified duration is 6.0 and its convexity is 55.0, the return impact of this change is closest to:

A 6.28%.

B –5.73%.

C 7.10%.

A is correct. The return impact of a 60 bps fall in the bond’s yield can be computed as:

Return impact ≈ –(MDur × ΔSpread) + ½Cvx × (ΔSpread)2

Return impact ≈ –(6.0 × –0.01) + ½(55.0) × (–0.01)2 = 6.28%

老师,公式不是应该为mac duration而不是mod duraton吗?

2 个答案

WallE_品职答疑助手 · 2020年11月09日

同学您好,

这里是modified duration的哈

吴昊_品职助教 · 2020年11月09日

同学你好:

不是哦,是MD,可以参考基础班讲义P327的例题。

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