Enjoy · 2024年11月10日
An 8-year, 3.5% annual coupon bond is priced at 92.1492, with a yield to maturity of 4.7% and a Macaulay duration of 7.0705. If rates decrease by 75 bps, the percentage price change of the bond is closest to:
A
–5.30%.
B
5.07%.
C
不正确5.30%.
吴昊_品职助教 · 2024年11月11日
嗨，努力学习的PZer你好：
1、利率下降75bps，△y= -75bps= -0.75%；
2、题目给的是Macaulay Durtaion，我们需要转换到modified duration。modified durtaion = Macaulay duration/(1+y)=7.0705/(1+4.7%) = 6.7531
3、△P/P= -D×△y+0.5×C×△y^2 = -6.7531×(-0.75%) = 5.06%，所以选B。
----------------------------------------------努力的时光都是限量版，加油！
