《固定收益证券分析》作业三

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1、《固定收益证券分析》作业三1.Whichofthefollowingtwobondsismorepricesensitivetochangesininterestrates?(1)Aparvalueband,X,witha5-year-to-maturityanda10%couponrate.(2)Azero-couponbond,Y,witha5-year-to-maturityanda10%yield-to-maturity.A)BondXbecauseofthehigheryieldtomaturity.B)BondXb

2、ecauseofthelongertimetomaturity.C)BondYbecauseofthelongerduration.D)Bothhavethesamesensitivitybecausebothhavethesameyieldtomaturity.E)Noneoftheabove解答：CPricesensitive理解成价格绝对值变化，那么选择E。问题：很多同学选B2、Forabondtradingatparvalue,theratioofthepricevalueofabasispointdividedbym

3、odifieddurationwouldbeapproximately:A)1.00.B)0.01.C)0.10.D)2.00.解答：Bdp=－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C3.Themodifieddurationofaperpetuitywithayieldof8%isA)13.50B)12.50C)12.11D)6.66E)noneoftheabove.解答：B44、For

4、acoupon-payingbond,whichismostlikelytobegreater(inabsolutevalueterms),modifieddurationorMacaulayduration?Whichoftheseismoreappropriatewhenembeddedoptionsarepresent?CA)Greater:Macaulayduration.Moreappropriatewhenoptionsarepresent:modifiedduration.B)Greater:modifieddu

5、ration.Moreappropriatewhenoptionsarepresent:Macaulayduration.C)Greater:Macaulayduration.Moreappropriatewhenoptionsarepresent:neitherismoreappropriate.D)Greater:modifiedduration.Moreappropriatewhenoptionsarepresent:neitherismoreappropriate.解答：修正久期要小于Mauclay久期，但有期权时，必

6、须使用有效久期。5.JanetMeerisafixedincomeportfoliomanager.Notingthatthecurrentshapeoftheyieldcurveisflat,sheconsidersthepurchaseofanewlyissued,option-freecorporatebondpricedatpar;thebondisdescribedinExhibit1Exhibit17%Option-freeBondMaturity=10yearsChangeinYieldsUp10BasisPoi

7、ntsDown10BasisPointsPrice99.29100.71ConvexityMeasure35.00A.CalculatethedurationofthebonddescribedinExhibit1.Showyourcalculations.Duration=100.71-99.292×100×0.001=7.1Meerisalsoconsideringthepurchaseofasecondnewlyissued,option-freecorporatebond,whichisdescribedinExhib

8、it2.Shewantstoevaluatethissecondbond’spricesensitivitytoaninstantaneous,downwardparallelshiftintheyieldcurveof200basispoints.Exhibit27.25%