Churning · 2020年02月02日
问题如下：
The annual modified duration of Bond A is 6.932 and the annual convexity of it is 59.270. Assuming that Bond A's yield-to-maturity decreases by 30 basis points, the expected percentage price change should be:
选项：
A.1.52%.
B.2.88%.
C.2.11%.
解释：
C is correct.
%ΔPVFull ≈ [–AnnModDur × ΔYield] + [0.5 × AnnConvexity × (ΔYield)^2]
= -6.932 × (-0.3%) + 0.5 × 59.270 × (0.3%)^2
=2.0796% + 0.0267%
=2.1063%
≈2.11%
老师问下 这道题为什么乘以0.3% 30个point不应该是3%？
NO.PZ2018062006000127问题如下The annumofieration of BonA is 6.932 anthe annuconvexity of it is 59.270. Assuming thBonA's yielto-maturity creases 30 basis points, the expectepercentage prichange shoulbe:A.1.52%.B.2.88%.C.2.11%. C is correct.考点ration convexity解析这道题考点在于利率变动对于债券价格的变动，同时需要考虑ration和convexity的影响。题目中利率下降30bps，所以△y= -0.3%%ΔPVFull ≈ [–AnnMour × ΔYiel + [0.5 × AnnConvexity × (ΔYiel2 ]= -6.932 × (-0.3%) + 0.5 × 59.270 × (-0.3%)2 =2.0796% + 0.0267%=2.1063%≈2.11%故C正确。 算出来是2.6672呢。。。就照着答案算得
△Yiel是一个负号，是因为 crease 的原因么？
2.88%. 2.11%. C is correct. %ΔPVFull ≈ [–AnnMour × ΔYiel + [0.5 × AnnConvexity × (ΔYiel^2] = -6.932 × (-0.3%) + 0.5 × 59.270 × (0.3%)^2 =2.0796% + 0.0267% =2.1063% ≈2.11% 答案是不是有误，前后的 0.3% 应该都有负号
