hhjinghh · 2025年01月08日
NO.PZ2023120801000104
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.
−1.5%
B.
0.15%
C.
1.5%
解释：
Correct Answer: A
%∆PVFull
= −(AnnModDur × ∆Spread) + 0.5 × AnnConvexity × (∆Spread)2
0.0993 = −(7 x
∆Spread) + 0.5 × (51) × (∆Spread)2
∆Spread = −0.0135 ≈ −1.5%
价格变动金额的公式不是用money duration 算吗？
NO.PZ2023120801000104问题如下 investment-gra bonwith mofieration of 7anreporteconvexity of 0.51 increases in pri9.93% after a yielspreahange. The value of the sprechange woulclosest to: A.−1.5%B.0.15%C.1.5% CorreAnswer: A%∆PVFull= −(AnnMour × ∆Sprea + 0.5 × AnnConvexity × (∆Sprea20.0993 = −(7 x∆Sprea + 0.5 × (51) × (∆Sprea2∆Spre= −0.0135 ≈ −1.5% 为什么这里的convexity要用51而不是0.51
NO.PZ2023120801000104 问题如下 investment-gra bonwith mofieration of 7anreporteconvexity of 0.51 increases in pri9.93% after a yielspreahange. The value of the sprechange woulclosest to: A.−1.5% B.0.15% C.1.5% CorreAnswer: A%∆PVFull= −(AnnMour × ∆Sprea + 0.5 × AnnConvexity × (∆Sprea20.0993 = −(7 x∆Sprea + 0.5 × (51) × (∆Sprea2∆Spre= −0.0135≈−1.5% 代入-0.015進去，-7×(-0.015）+（0.5×51×（-0.015²））=0.110739 代入 0.015算出來才是正確答案，是公式負號記錯了嗎？
