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霍佳祺 · 2019年11月30日

问一道题:NO.PZ2018062010000014

问题如下:

If the market discount rates for all three bonds increase by 50 basis points, which bond will experience the smallest decrease in the percentage of price?

选项:

A.

Bond A

B.

Bond B

C.

Bond C

解释:

B is correct.

Bond A and bond B has the same time to maturity, but B has a higher coupon rate. So the duration of bond A is higher than that of bond B.

Bond A and bond C has the same coupon rate, but C has a longer time to maturity. So the duration of bond A is lower than that of bond C.

C's duration > A's duration > B's duration, bond B will experience the smallest decrease in the percentage of price.

请问,在不做具体计算的情况下,比较A和C的久期,为什么没有考虑YTM不同对久期的影响?虽然C期限更长,但是C的YTM也比较高,在两种因素的影响下,如何直接判断哪个影响更大?

1 个答案

吴昊_品职助教 · 2019年11月30日

嗨,从没放弃的小努力你好:


我们在定性比较债券久期大小的时候,假设其他条件均一样,只考虑单一变量对最后久期的影响。债券A和C,coupon rate一样,只是maturity不一样。maturity更长,在其他条件均一样的情况下,债券的久期更大。


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