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LuQ · 2021年10月19日

d选项能再讲一下吗？

  1. FRM II
  2. Market Risk Measurement And Management

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.

d选项推倒一下 谢谢老师
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1 个答案

品职答疑小助手雍 · 2021年10月20日

同学你好，首先这是一个条件反射型的结论，要记牢，其他条件相同的含coupon债券，收益率越高，duration越小。

原理就是收益率越高本金的折现率是越小，本金占总PV的比重就越低，duration是现金流期限的加权平均，最长期限的现金流（本金）权重越低duration就越小。

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