NO.PZ202303270300006604
问题如下：
(4) Estimate the corporate bond’s percentage price change if the government yield curve steepens, assuming a 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread.
选项：
A.–0.40%
0.40%
–0.04%
解释：
A is correct. The 20 bp increase in the 20-year government YTM causes the 12-year interpolated government YTM to rise 4 bps to 1.98% = (80%×1.85%) + (20%×2.50%). The corporate bond percentage price change can be estimated based on the YTM change multiplied by modified duration (-ModDur×△Yield). This percentage price change can be calculated as -0.4% = -9.99×0.04%.
求问，突然有点迷茫，benchmark spread上升0.04%，然后price due to investor‘s view of benchmark yield，这个可以推测
但为啥不是price due to investor's view of yield spread，要是yield spread，G spread下降-0.04%，那不应该上升0.4%吗
是因为给的modified duration不是speed duration吗