问题如下图:
选项:
A.
B.
C.
解释:
这题140页的知识点老师视频当时说学过后面的回头讲的啊,这章学完了也没讲啊,不知道讲解是不是还在后面
吴昊_品职助教 · 2019年11月02日
是的,在后面duration的章节中老师回过头再讲了。首先,按照PPT140页的思路来解题。maturity effect表明,对于coupon rate一样的债券,maturity较大的债券,其价格改变较大,在A和C中,我们排除C。coupon effect表明,对于maturity一样的债券,coupon rate较小的债券,其价格改变较大,在A和B中,排除A。因此,选项B正确。
但是这个题目可以以duration的角度来思考。题目问的是当利率上涨100bp,哪一只债券价格改变最小。换句话说,是问哪一只债券的duration最小。首先排除债券C,maturity最长。在A和B中,coupon rate越大的债券,期间现金流越大,还款时间更短,duration更小。因此,bond B的duration最小。选项B正确。由于牵涉到duration的知识点,所以老师放到了后面章节一并讲解,这道题可以先放一放,等到学到duration那一块再回过头来做就简单了。
NO.PZ2016031001000059 问题如下 Whibonwill most likely experienthe smallest percent change in priif the market scount rates for all three bon increase 100 basis points? A.Bon B.Bon C.Bon B is correct.BonB will most likely experienthe smallest percent change in priif market scount rates increase 100 basis points. A higher-coupon bonha smaller percentage prichange tha lower-coupon bonwhen their market scount rates change the same amount (the coupon effect). Also, a shorter-term bongenerally ha smaller percentage prichange tha longer-term bonwhen their market scount rates change the same amount (the maturity effect). BonB will experiena smaller percent change in prithBonA because of the coupon effect. BonB will also experiena smaller percent change in prithBonC because of the coupon effeanthe maturity effect.考点maturity effe coupon effect解析maturity effect表明,对于coupon rate一样的债券,maturity较大的债券,其价格改变较大,在债券A和C中,我们排除C。coupon effect表明,对于maturity一样的债券,coupon rate较小的债券,其价格改变较大,在债券A和B中,排除A。故B正确。 请教如何用YTM的公式,判断coupon rate的影响
NO.PZ2016031001000059 BonB BonC B is correct. BonB will most likely experienthe smallest percent change in priif market scount rates increase 100 basis points. A higher-coupon bonha smaller percentage prichange tha lower-coupon bonwhen their market scount rates change the same amount (the coupon effect). Also, a shorter-term bongenerally ha smaller percentage prichange tha longer-term bonwhen their market scount rates change the same amount (the maturity effect). BonB will experiena smaller percent change in prithBonA because of the coupon effect. BonB will also experiena smaller percent change in prithBonC because of the coupon effeanthe maturity effect.请问这个题目怎么求ration呢?计算器可以吗?还是要现金流一笔笔算Macaulration,再➗(1➕ytm)得到mofieration?
B 和 C 的利率并不相等,如何比较 maturity?
老师这道题在讲义第几页啊