NO.PZ2016031001000124
问题如下:
A bond with exactly nine years remaining until maturity offers a 3% coupon rate with annual coupons. The bond, with a yield-to-maturity of 5%, is priced at 85.784357 per 100 of par value. The estimated price value of a basis point for the bond is closest to:
选项:
A. 0.0086.
B. 0.0648.
C. 0.1295.
解释:
B is correct.
The PVBP is closest to 0.0648. The formula for the price value of a basis pointis:
where:
PVBP = price value of a basis point
PV– = full price calculated by lowering the yield-to-maturity by one basis point
PV+ = full price calculated by raising the yield-to-maturity by one basis point
Lowering the yield-to-maturity by one basis point to 4.99% results in a bond price of 85.849134:
Increasing the yield-to-maturity by one basis point to 5.01% results in a bond price of 85.719638:
Alternatively, the PVBP can be derived using modified duration:
PVBP = 7.548 × 85.784357 × 0.0001 = 0.06475
把ytm5.01带入,直接v0减去v➕=pvbp可以吗