问题如下:
Based on Exhibit 3, if Bond IV’s credit rating changes during the next year to an A rating, its expected price change would be closest to:
选项:
A.–8.00%.
–7.35%.
–3.15%.
解释:
C is correct. The expected percentage price change is the product of the negative of the modified duration and the difference between the credit spread in the new rating and the old rating:
Expected percentage price change = –4.2 × (0.0175 – 0.01) = –0.0315, or –3.15%.
老师好,这个矩阵是什么含义,没有看明白,可以解释下吗?