Gabriela · 2024年08月28日
NO.PZ2023052301000060
问题如下：
An investment-grade bond with modified duration of 7 and reported convexity of 0.51 increases in price by 9.93% after a yield spread change. The value of the spread change would be closest to:
选项：
A.-1.35%
B.0.15%
C.1.35%
解释：
A is correct.
%∆PVFull = −(AnnModDur × ∆Spread) + 0.5 × AnnConvexity ×(∆Spread)^2.
0.0993 = −(7 x ∆Spread) + 0.5× (51) × (∆Spread)^2
∆Spread =-0.0135 = -1.35%.
此题中modified duration与convexity量纲的调整一定是*100吗？有没有*10的情况？为什么是*100？
NO.PZ2023052301000060问题如下 investment-gra bonwith mofieration of 7 anreporteconvexity of 0.51 increases in pri9.93% after a yielsprechange. The value of the sprechange woulclosest to: A.-1.5%B.0.15%C.1.5% A is correct. %∆PVFull = −(AnnMour × ∆Sprea + 0.5 × AnnConvexity ×(∆Sprea^2.0.0993 = −(7 x ∆Sprea + 0.5× (51) × (∆Sprea^2∆Spre=-0.015 = -1.5%. 为什么covensity不是0.51？
NO.PZ2023052301000060 问题如下 investment-gra bonwith mofieration of 7 anreporteconvexity of 0.51 increases in pri9.93% after a yielsprechange. The value of the sprechange woulclosest to: A.-1.5% B.0.15% C.1.5% A is correct. %∆PVFull = −(AnnMour × ∆Sprea + 0.5 × AnnConvexity ×(∆Sprea^2.0.0993 = −(7 x ∆Sprea + 0.5× (51) × (∆Sprea^2∆Spre=-0.015 = -1.5%. 0.0993 = −(7 x ∆Sprea + 0.5× (51) × (∆Sprea^2带入∆Spre=-0.015 = -1.5%.0.0993=0.105+0.005738右边等于0.110738，等式不成立
