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.
请问答案原理的出处是在哪里？
