NO.PZ201701230200000306
问题如下：
6. Based on Exhibit 1, the results of Analysis 1 should show the yield on the 20-year bond decreasing by:
选项：
A. 0.3015%.
B. 0.6030%.
C. 0.8946%.
解释：
B is correct.
Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a two standard deviation increase in the steepness factor will lead to the yield on the 20-year bond decreasing by 0.6030%, calculated as follows:
Change in 20-year bond yield = -0.3015% ×2 = -0.6030%.
第6、7小问的题干里分别问the yield on the 20/5 years bond是如何变化，拆成三个factor不是求的是portfolio的变化吗？所以题目里给的一个标准差变动对债券收益率的影响也不是对组合收益率的影响而是具体某期限债券收益率的影响？