作者rosso0922 (哔波)
看板CFAiafeFSA
标题[问题] duration的相关问题
时间Mon Jan 21 14:26:59 2013
最近准备考试的时候碰到几题的简答题有一点苦手
请板上高手给点意见
agree or disagree
a. if two bonds have the same dollar duration, yield and price, their
dollar sensitivity will be the same for a given change in interest.
b. As the duration of a zero coupon bond is equal to its maturity, the price
responsiveness of a zero coupon bond to yield change is the same regardless of
the level of interest rates.
c.duration will be negative? when?
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以上三小题请教板上板友~
万分感谢
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◆ From: 120.126.126.12
1F：推 slowtakumi:C, callable bond can have negative duration 01/21 19:10
2F：→ slowtakumi:A, what about convexity? Is it a parallel shift? 01/21 19:11
3F：→ slowtakumi:A, in a "simpler" environment, yes. 01/21 19:11
4F：→ slowtakumi:I think. 不对...只能怪我学艺不精. Orz. 01/21 19:12
5F：推 ERERE:c.保单的实质存续期间可能为负，因为有双向的现金流。 01/22 00:32
6F：→ ERERE:a.题我觉得是对的耶!dollar duration除以价格P不就是MD~ 01/22 00:36
7F：推 tingkang:A是错的 还要考虑债券凸性 01/23 23:44
8F：→ tingkang:B也是错的 理由同上 01/23 23:45
9F：→ tingkang:C是对的 EX.可赎回债券 01/23 23:48
10F：→ rosso0922:C了解了我查卢扬政的书也是此解 01/25 20:59
11F：→ rosso0922:但是B不是不受到yield的影响吗... 01/25 20:59