NO.PZ201812310200000202
问题如下:
Based on Exhibit 1, the one-year expected return on the Entre Corp. bond is closest to:
选项:
A.3.73%.
5.50%.
7.27%.
解释:
A is correct. The expected return on the Entre Corp. bond over the next year is its yield to maturity plus the expected percentage price change in the bond over the next year. In the table below, for each possible transition, the expected percentage price change is the product of the bond’s modified duration of 7.54, multiplied by –1, and the change in the spread, weighted by the given probability:
Expected percentage price change = (0.0002 × 6.786%) + (0.0030 × 4.524%) + (0.0480 × 3.016%) + (0.8573 × 0.000%) + (0.0695 × –14.326%) + (0.0175 × –37.700%) + (0.0045 × –60.320%)
= –1.76715%.
So, the expected return on the Entre Corp. bond is its yield to maturity plus the expected percentage price change due to credit migration:
Expected return = 5.50% – 1.77% = 3.73%.
ytm 是持有至到期的5.5% 收益
-1.73 是未来一年后,咱这个债券因为信用评级变化导致的价格变动率。
这两个相互加加减减的逻辑是啥。?