NO.PZ201602270200002104
问题如下:
4. The effective duration of Bond #4 is closest to:
选项:
A.
0.76.
B.
1.88.
C.
3.77.
解释:
B is correct.
The effective duration of Bond #4 can be calculated using Equation 3 from the reading, where Δ Curve is 20 bps, PV– is 101.238, and PV+ is 100.478. , the current full price of the bond (i.e., with no shift), is not given but it can be calculated using Exhibit 3 as follows:
S= Interest Rate Scenario
C=Cash Flow (% of par)
R=One-year Interest rate (%)
V= Value of the Callable Bond’s Future Cash Flows (% of par)
Thus, the effective duration of Bond #4 is:
Effective duration =
题目中二叉树,是不是里面所有含权债券都适用这个二叉树