Linda · 2024年05月06日

这道题计算时，y的变动没有扩大100倍

1. CFA I
2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202312080100008201

问题如下：

If the yield-to-maturity of Bond X increases by 50 bps, the expected percentage price change of Bond X is closest to:

选项：

A.

–1.792%

B.

–1.812%

C.

–1.832%

解释：

Correct Answer: A

The expected price change is calculated as follows:

%ΔPVFull ≈ (–3.6239×0.005) + [0.5×16.2513×(0.005)^2] = –1.79164% ≈ –1.792%

这道题带入convex时，y的变动没有扩大100倍，之前老师说要扩大100倍