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jacqie · 2022年03月28日

哪里有讲到永续债的duration?

NO.PZ2016082402000010

问题如下:

A and B are two perpetual bonds; that is, their maturities are infinite. A has a coupon of 4% and B has a coupon of 8%. Assuming that both are trading at the same yield, what can be said about the duration of these bonds?

选项:

A.

The duration of A is greater than the duration of B.

B.

The duration of A is less than the duration of B.

C.

A and B both have the same duration.

D.

None of the above.

解释:

ANSWER: C

Going back to the duration equation for the consol , DC=1+yyD_C=\frac{1+y}y, we see that it does not depend on the coupon but only on the yield. Hence, the durations must be the same. The price of bond A, however, must be half that of bond B.

在讲义中没有看到~

2 个答案

李坏_品职助教 · 2022年03月29日

嗨,从没放弃的小努力你好:


今天教研的同事反馈说的,这道题属于比较老的题目 目前在FRM新版教材里不作为考点了。可以直接记住结论就好~

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

李坏_品职助教 · 2022年03月28日

嗨,努力学习的PZer你好:


同学你好,讲义里的确没有写永续债券的久期计算公式,我反馈一下这个问题。


根据其他资料,永续债券公式如下(这个推导比较繁琐,建议直接记住结论就好~,永续债券的久期 = (1+y)/ y):


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努力的时光都是限量版,加油!