开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

LuQ · 2021年10月19日

d选项能再讲一下吗？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000061

问题如下：

A bond portfolio consists of five bonds:

Bond 1: 5%, annual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 2: 5%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 3: A zero-coupon bond with a 10-year maturity and a yield of 4.5%.

Bond 4: 4%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 5: 5%, annual-pay bond with a 10-year maturity and a yield of 5.5%.

Which of the following statements about these bonds is Correct?

选项：

A.

Bond 1 has a shorter duration than Bond 2.

B.

The Macaulay duration of Bond 3 is five years.

C.

Bond 4 has a shorter duration than Bond 2.

D.

The DV01 of Bond 5 is lower than the DV01 of Bond 1.

解释：

D is correct.

考点 ： Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析 ： Increasing the yield will lower the DV01. Since Bond 5 has a higher yield than Bond 1, it must have a lower DV01. Choice B is incorrect. The Macaulay duration of a zero-coupon bond will be equal to its maturity Choices A and C are incorrect. All else equal, a semiannual-pay bond will have a shorter duration than an annual-pay bond, so Bond 2 has a shorter duration than Bond 1. A premium bond will have a shorter duration than a discount bond, so Bond 2 will have a shorter duration than Bond 4.

d选项推倒一下 谢谢老师
添加评论
1 个答案

品职答疑小助手雍 · 2021年10月20日

同学你好，首先这是一个条件反射型的结论，要记牢，其他条件相同的含coupon债券，收益率越高，duration越小。

原理就是收益率越高本金的折现率是越小，本金占总PV的比重就越低，duration是现金流期限的加权平均，最长期限的现金流（本金）权重越低duration就越小。

  • 1

    回答

  • 1

    关注

  • 527

    浏览
相关问题

NO.PZ2018122701000061 问题如下 A bonportfolio consists of five bon:Bon1: 5%, annual-pbonwith a 10-yematurity ana yielof 4.5%.Bon2: 5%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon3: A zero-coupon bonwith a 10-yematurity ana yielof 4.5%.Bon4: 4%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon5: 5%, annual-pbonwith a 10-yematurity ana yielof 5.5%.Whiof the following statements about these bon is Correct? A.Bon1 ha shorter ration thBon2. B.The Macaulration of Bon3 is five years. C.Bon4 ha shorter ration thBon2. The 01 of Bon5 is lower ththe 01 of Bon1. is correct.考点 Measures of Pricing Sensitivity Baseon Parallel YielShifts解析 Increasing the yielwill lower the 01. SinBon5 ha higher yielthBon1, it must have a lower 01. ChoiB is incorrect. The Macaulration of a zero-coupon bonwill equto its maturity Choices A anC are incorrect. All else equal, a semiannual-pbonwill have a shorter ration thannual-pbon so Bon2 ha shorter ration thBon1. A premium bonwill have a shorter ration tha scount bon so Bon2 will have a shorter ration thBon4. 半年付靠前的金额就翻了一倍

2024-11-02 01:14 1 · 回答

NO.PZ2018122701000061问题如下A bonportfolio consists of five bon:Bon1: 5%, annual-pbonwith a 10-yematurity ana yielof 4.5%.Bon2: 5%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon3: A zero-coupon bonwith a 10-yematurity ana yielof 4.5%.Bon4: 4%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon5: 5%, annual-pbonwith a 10-yematurity ana yielof 5.5%.Whiof the following statements about these bon is Correct?A.Bon1 ha shorter ration thBon2.B.The Macaulration of Bon3 is five years.C.Bon4 ha shorter ration thBon2.The 01 of Bon5 is lower ththe 01 of Bon1.is correct.考点 Measures of Pricing Sensitivity Baseon Parallel YielShifts解析 Increasing the yielwill lower the 01. SinBon5 ha higher yielthBon1, it must have a lower 01. ChoiB is incorrect. The Macaulration of a zero-coupon bonwill equto its maturity Choices A anC are incorrect. All else equal, a semiannual-pbonwill have a shorter ration thannual-pbon so Bon2 ha shorter ration thBon1. A premium bonwill have a shorter ration tha scount bon so Bon2 will have a shorter ration thBon4.李老师讲的财大气粗，收益率越高，久期和凸性更大吗

2024-03-12 10:02 1 · 回答

NO.PZ2018122701000061问题如下A bonportfolio consists of five bon:Bon1: 5%, annual-pbonwith a 10-yematurity ana yielof 4.5%.Bon2: 5%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon3: A zero-coupon bonwith a 10-yematurity ana yielof 4.5%.Bon4: 4%, semiannual-pbonwith a 10-yematurity ana yielof 4.5%.Bon5: 5%, annual-pbonwith a 10-yematurity ana yielof 5.5%.Whiof the following statements about these bon is Correct?A.Bon1 ha shorter ration thBon2.B.The Macaulration of Bon3 is five years.C.Bon4 ha shorter ration thBon2.The 01 of Bon5 is lower ththe 01 of Bon1.is correct.考点 Measures of Pricing Sensitivity Baseon Parallel YielShifts解析 Increasing the yielwill lower the 01. SinBon5 ha higher yielthBon1, it must have a lower 01. ChoiB is incorrect. The Macaulration of a zero-coupon bonwill equto its maturity Choices A anC are incorrect. All else equal, a semiannual-pbonwill have a shorter ration thannual-pbon so Bon2 ha shorter ration thBon1. A premium bonwill have a shorter ration tha scount bon so Bon2 will have a shorter ration thBon4.请问老师开始的收益率指什么，是票面吗？最后那个收益率是实际收益率吗

2024-02-25 22:37 1 · 回答

NO.PZ2018122701000061 The Macaulration of Bon3 is five years. Bon4 ha shorter ration thBon2. The 01 of Bon5 is lower ththe 01 of Bon1. is correct. 考点 Measures of Pricing Sensitivity Baseon Parallel YielShifts 解析 Increasing the yielwill lower the 01. SinBon5 ha higher yielthBon1, it must have a lower 01. ChoiB is incorrect. The Macaulration of a zero-coupon bonwill equto its maturity Choices A anC are incorrect. All else equal, a semiannual-pbonwill have a shorter ration thannual-pbon so Bon2 ha shorter ration thBon1. A premium bonwill have a shorter ration tha scount bon so Bon2 will have a shorter ration thBon4. 老师解析的第一句话怎么理解？01不是衡量利率每变动1bp债券价格的变化百分比吗？那和市场利率如何变化好像没有关系

2022-10-06 20:52 1 · 回答