请问老师：这里的interest rate变化是不是可以默认为benchmark rate的变化？

问题如下：

Emma Gerber and Juliette Petit are senior and junior credit portfolio managers, respectively, for a European money management firm. They are discussing credit management strategies and preparing for an annual meeting with a major client.

One of their high-yield bond holdings is a 10-year bond issued by EKN Corporation (EKN). The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47. For this bond, Petit speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps. Petit comments that because the modified duration and credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.

Is Petit’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?

选项：

Yes

No, the bond price should decrease

No, the bond price should increase.

解释：

B is correct.

An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price. For the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate percentage price change resulting from the increase in interest rates is –8.47 × 0.0020 = –1.694%. The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%.