《固定收益证券分析》作业三

《固定收益证券分析》作业三

1. Which of the following two bonds is more price sensitive to changes in interest rates?

(1) A par value band, X, with a 5-year-to-maturity and a 10% coupon rate.

(2) A zero-coupon bond, Y, with a 5-year-to-maturity and a 10% yield-to-maturity.

A) Bond X because of the higher yield to maturity.

B) Bond X because of the longer time to maturity.

C) Bond Y because of the longer duration.

D) Both have the same sensitivity because both have the same yield to maturity.

E) None of the above

解答：C

Price sensitive 理解成价格绝对值变化，那么选择 E 。

问题：

很多同学选B

2、For a bond trading at par value, the ratio of the price value of a basis point divided by modified duration would be approximately:

A) 1.00.

B) 0.01.

C) 0.10.

D) 2.00.

解答：B

dp = －D*dy*p，

当dy＝1bp，则dp＝pvbp，所以pvbp/duration ＝0.01％×100，所以大致为0.01

注：面值理解成1000，应该是0.1，答案为C。

问题：

选A和C

3.The modified duration of a perpetuity with a yield of 8% is

A) 13.50

B) 12.50

C) 12.11

D) 6.66

E) none of the above.

解答：B

4、For a coupon-paying bond, which is most likely to be greater (in absolute value terms), modified duration or Macaulay duration? Which of these is more appropriate when embedded options are present? C

A) Greater: Macaulay duration. More appropriate when options are present: modified duration.

B) Greater: modified duration. More appropriate when options are present: Macaulay duration.

C) Greater:Macaulay duration. More appropriate when options are present: neither is more appropriate.

D) Greater: modified duration. More appropriate when options are present: neither is more appropriate.

解答：

修正久期要小于Mauclay久期，但有期权时，必须使用有效久期。

5.Janet Meer is a fixed income portfolio manager. Noting that the current shape of the yield curve is flat, she considers the purchase of a newly issued, option-free corporate bond priced at par; the bond is described in Exhibit 1

Exhibit 1

7% Option-free Bond

A.Calculate the duration of the bond described in Exhibit 1. Show your calculations.

Duration = 100.71-99.29

2×100×0.001

= 7.1

Meer is also considering the purchase of a second newly issued, option-free corporate bond, which is described in Exhibit 2. She wants to evaluate this second bond’s price sensitivity to an instantaneous, downward parallel shift in the yield curve of 200 basis points.

Exhibit 2

7.25% Option-free Bond

Maturity=12 years

B. Estimate the total percentage price change for the bond described in Exhibit 2 if the yield curve experiences an instantaneous, downward parallel shift of 200 basis points. Show your calculations.

Percentage price change using duration=－7.90×－