NO.PZ2018062006000124
问题如下:
An annual coupon bond with a 5% coupon rate has a yield-to-maturity of 7%, and there are four years to its maturity from now. The estimated price value of a basis point for the bond is:
选项:
A. 0.0078.
B. 0.0325.
C. 0.0569.
解释:
B is correct.
If the YTM decreases by 1bp, the price of the bond is:
PMT = 5, FV=100, I/Y=6.99%,N=4 ,CPT → PV = - 93.258
If the YTM increases by 1bp, the price of the bond is:
PMT = 5, FV=100, I/Y=7.01%,N=4 ,CPT → PV = - 93.193
PVBP of the bond is:
[(PV-) - PV(+)]/2 = 93.258 - 93.193 / 2 =0.0325
只求pv-和pv0,然后相减,得到大概数字,这样判断对吗