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moon · 2022年02月10日

问一道题

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001404

问题如下：

Estimate the corporate bond’s percentage price change if the government yield curve steepens, assuming a 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread.

选项：

A.

–0.40%

B.

0.40%

C.

–0.04%

解释：

A is correct. The 20 bp increase in the 20-year government YTM causes the 12-year interpolated government YTM to rise 4 bps to 1.98% (or (80% × 1.85%) + (20% × 2.50%)).

The corporate bond percentage price change can be estimated based on the YTM change multiplied by modified duration (–ModDur × ΔYield) familiar from earlier lessons. This percentage price change can be calculated as –0.4% (=–9.99 × 0.04%).

老师，可以解释一下这道题吗？

直接用0.2%*15.94算价格变动不对吗？

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1 个答案

pzqa015 · 2022年02月11日

嗨，从没放弃的小努力你好：


这道题让计算的是corporate bond's percentage price change，所以，要用corporate Bond的△y乘9.99

15.94是20年期国债的duration，用不上哈。

题目说了，Gspread与10年期国债利率不变，那么要首先计算20年期国债利率变动后的新的ytmb，然后用ytmb+G=ytmc

这个ytmc是20年期国债收益率变化后的新的公司债的ytm，公司债的△y是这个新的ytm与2.8%的差

用△y*9.99计算的结果才是corporate bond's percentage price change

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