NO.PZ202112010200001602
问题如下：
An active fixed-income manager is considering two corporate bond positions for an active portfolio.
The first bond has a BBB rating with a credit spread of 2.75% and an effective spread duration of 6, and the second bond has a BB rating with a credit spread of 3.50% and an effective spread duration of five years.
What is the instantaneous (holding period of zero) excess return for the BB rated bond if the spread widens by 50 bps?
选项：
A.3.00%
–2.50%
2.50%
解释：
B is correct. The instantaneous holding period return equals –EffSpreadDur × ∆Spread = –5 × 0.5% or –2.50%.
瞬时变化下，EXR公式最后一下LGD*POD还要扣除吗？
之前听押题班的时候，老师提到过原版书里有个例题中，瞬时变化下的EXR扣除了LGD*POD。
