问题如下：
Li is a junior credit analyst in a wealth management firm. His client invests in high-yield bonds, one of which is issued by ABC Corporation. This high-yield bond has a 10-year maturity, a modified duration of 8.87 and a spread duration of 8.87. In a meeting with this client, Li made the following statements of the high-yield bond holdings:
"because this bond has a modified duration of 8.87 and a spread duration of 8.87, if the interest rate is expected to decrease 10bps, and the spread is expected to decrease 10 bps as well due to the company’s increased creditworthiness, the bond’s price will not change in response to this interest rate and credit spread changes."
According to Li’s statement, which of the following is correct?
选项：
A.Li is correct, the bond price will not change.
B.Li is wrong, because the bond price will decrease due to the decreased interest rate and spread.
C.Li is wrong, because the bond price will increase due to the decreased interest rate and spread.
解释：
C is correct.
考点：modified duration和Spread duration的理解
解析：由于利率变动对债券价格的影响，可以用Modified duration来衡量，根据公式，可知债券价格上升：10bps ×8.87；同时由于债券的Spread减少带来的价格上升为：10 bps×8.87；所以综合来看利率下降、Spread减少对债券的影响为：2×10bps ×8.87.
因此C选项正确。
债券的收益率YTM = Benchmark YTM + Credit spread；可是题目中说的是interest rate 下降 10bp，没特别指出是Benchmark YTM下降10bps呀，我理解的是由于Credit spread下降10bps，所以导致interest rate下降10bp，一共还是下降10bps；
这样债券的价格变动为：Price change% = -modified duration × ∆YTM%= -8.87 × 10 bps
