NO.PZ2016031002000048
问题如下:
Calculate a bond's price value of a basis point according to the following information:
选项:
A. $0.60.
B. $0.44.
C. $5.74.
解释:
B is correct.
step 1. calculate the yield
PV=−1023.78; FV=1,000; PMT=30; N=10; CPT→I/Y=2.725, multiplied by 2 = 5.45.
step 2. calculate the the price of the bond with a 0.01% yield change
I/Y= (5.45+0.01)/2=2.7301
FV= 1,000; PMT= 30; N=10; I/Y=2.7301; CPT→PV= $1023.34.
Finally, PVBP=$1023.78−$1023.34=$0.44.
为什么求pvbp没有除以2