NO.PZ2018123101000091
问题如下:
Note: Each bond has a remaining maturity of three years, annual coupon payments, and a credit rating of BBB.
Bianchi constructs binomial interest rate tree based on a 10% interest rate volatility assumption and a current one-year rate of 1%. Panel A of Exhibit 2 provides an interest rate tree assuming the benchmark yield curve shifts down by 30 bps. Panel B provides an interest rate tree assuming the benchmark yield curve shifts up by 30 bps.
Bianchi determines that the AI bond is currently trading at an option-adjusted spread (OAS) of 13.95 bps relative to the benchmark yield curve.
Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:
选项:
A.1.98.
B.2.15
C.2.73
解释:
B is correct.
考点:考察Effective duration的计算
解析:
本题的计算比较多,需要利用利率向上平移的二叉树计算出PV(+),并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。
利率向下平移30 bps,债券价格 (PV – ) 为100.78.
利率向上平移30 bps,债券价格(PV+) 为99.487.
利用Effective duration公式有:
Bianchi determines that the AI bond is currently trading at an option-adjusted spread (OAS) of 13.95 bps relative to the benchmark yield curve。
老师这道题这个是不是没有用到呀?