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轨迹 · 2020年11月25日

问一道题:NO.PZ2016031001000059

问题如下:

Which bond will most likely experience the smallest percent change in price if the market discount rates for all three bonds increase by 100 basis points?

选项:

A.

Bond A

B.

Bond B

C.

Bond C

解释:

B is correct.

Bond B will most likely experience the smallest percent change in price if market discount rates increase by 100 basis points. A higher-coupon bond has a smaller percentage price change than a lower-coupon bond when their market discount rates change by the same amount (the coupon effect). Also, a shorter-term bond generally has a smaller percentage price change than a longer-term bond when their market discount rates change by the same amount (the maturity effect). Bond B will experience a smaller percent change in price than Bond A because of the coupon effect. Bond B will also experience a smaller percent change in price than Bond C because of the coupon effect and the maturity effect.

B 和 C 的利率并不相等,如何比较 maturity?

1 个答案

吴昊_品职助教 · 2020年11月25日

同学你好:

这道题有两种方式解题。

按照PPT140页的思路来解题。maturity effect表明,对于coupon rate一样的债券,maturity较大的债券,其价格改变较大,在A和C中,我们排除C。coupon effect表明,对于maturity一样的债券,coupon rate较小的债券,其价格改变较大,在A和B中,排除A。因此,选项B正确。我们是拿A和C比较,再拿A和B比较。不需要B和C比较。

这个题目也可以用duration的角度来思考。题目问的是当利率上涨100bp,哪一只债券价格改变最小。换句话说,是问哪一只债券的duration最小。首先排除债券C,maturity最长。在A和B中,coupon rate越大的债券,期间现金流越大,还款时间更短,duration更小。因此,bond B的duration最小。选项B正确。

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2022-10-24 22:09 1 · 回答

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2021-04-29 10:33 2 · 回答

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2019-11-02 01:43 1 · 回答

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