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金融民工阿聪 · 2021年05月05日

利率越高,duration越高对吗

NO.PZ2018122701000061

问题如下:

A bond portfolio consists of five bonds:

Bond 1: 5%, annual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 2: 5%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 3: A zero-coupon bond with a 10-year maturity and a yield of 4.5%.

Bond 4: 4%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 5: 5%, annual-pay bond with a 10-year maturity and a yield of 5.5%.

Which of the following statements about these bonds is Correct?

选项:

A.

Bond 1 has a shorter duration than Bond 2.

B.

The Macaulay duration of Bond 3 is five years.

C.

Bond 4 has a shorter duration than Bond 2.

D.

The DV01 of Bond 5 is lower than the DV01 of Bond 1.

解释:

D is correct.

考点 Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析 Increasing the yield will lower the DV01. Since Bond 5 has a higher yield than Bond 1, it must have a lower DV01. Choice B is incorrect. The Macaulay duration of a zero-coupon bond will be equal to its maturity Choices A and C are incorrect. All else equal, a semiannual-pay bond will have a shorter duration than an annual-pay bond, so Bond 2 has a shorter duration than Bond 1. A premium bond will have a shorter duration than a discount bond, so Bond 2 will have a shorter duration than Bond 4.

利率越高,duration越高对吗

1 个答案
已采纳答案

小刘_品职助教 · 2021年05月05日

同学你好,

你说的利率是指什么?coupon越高,duration 越短。其他条件都相同的话,对同一个债券来说,yield 越高,duration越短(DV01越小)。

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