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咚呛咚咚呛 · 2021年02月28日

关于是否使用修正后的久期或者凸度的疑问

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000019

问题如下：

A three-year bond with a face value of USD 100 pays coupons annually at the rate of 10% per year. Its yield is 7% with annual compounding., estimate the price change if the annually compounded yield changes from 7% to 8.5%, using both the duration and the duration plus convexity approximations.

选项：

解释：

Using duration, the price change is

-2.5661 X 107.8729 X 0.015= -4.1522

Using duration and convexity, it is

-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685

The actual bond price decline is 4.0419, showing that duration plus convexity gives a better estimate than convexity alone.

请问，是否涉及到计算，都最好使用modified的Duration和Convexity？

我看答案中对于这道问题中并没有明确区分modified的时候，仍旧用修正后的计算的。谢谢。

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小刘_品职助教 · 2021年03月01日

嗨，从没放弃的小努力你好：


是的，更精确一点。

----------------------------------------------
努力的时光都是限量版，加油！

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