NO.PZ2021120102000011
问题如下：
A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.
The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.
The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.
Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?
选项：
A.Yes.
No, the bond price should decrease.
No, the bond price should increase.
解释：
B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.
For
the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate
percentage price change resulting from the increase
in interest rates is –8.47 × 0.0020 = –1.694%.
The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%
题目描述的是：“The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.”我理解的是：由于credit risk变，credit spread上涨了20bps，credit spread是利率的一部分，于是利率上涨了20bps。
在计算债券价格的时候，解析计算了两次，一次是用modified duration衡量利率变化引起的债券价格变化，另一次是用 spread duration衡量信用利差credit spread变化引起的债券价格变化。
我的问题是：这两次不会重复么，spread是利率的一部分。暂时没有想明白，希望得到老师的解析~感谢
