【factor model】价格和yield的符号问题

问题如下：

Exhibit 1. Three-Factor Model of Term Structure

Note: Entries indicate how yields would change for a one standard deviation increase in a factor.

Calculate the expected change in yield on the 20-year bond resulting from a two standard deviation increase in the steepness factor.

选项：

A.

0.3015%.

B.

0.6030%.

C.

0.8946%.

解释：

B is correct.

考点：Managing Yield Curve Risks: Decompose the risk into three factors

解析：图1中的因子表示各个因子变动一个标准差对债券收益率的影响， 如上图，对于20年期的债券，Steepness变动一个标准差收益率变动为-0.3015%，因此steepness增加两个标准差，将导致20年期债券的收益率下降0.6030 ％，

Change in 20-year bond yield = -0.3015% ×2 = -0.6030%.