作者aoky791009 (Cookie)
看板CFAiafeFSA
标题[问题] Duration的问题
时间Sat Apr 26 21:39:58 2014
A newly issued non-callable fixed-rate bond with 30 year maturity carries a
coupon rate of 5.5% and trades at par. Its duration is 15.33 years and its
convexity is 321.03. Which of the following statements about this bond is true?
A. If the bond were to start trading at a discount, its duration would decrease
B. If the bond were to start trading at a premium, its duration would decrease.
C. If the bond were to start trading at a discount, its duration would not change.
D. If the bond were to remain at par, its duration would increase as the bond aged.
答案是A，不懂他的意思，及如何判断
感谢指教
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1F：推 phencom:duration的定义平均多久的时间拿回本金+利息 04/26 21:59
2F：→ phencom:折价发行 duration就会decrease 04/26 22:00
3F：→ aoky791009:谢谢 我纠结错方向了 感谢 04/26 22:40
4F：推 survivorchen:A选项是否有YTM和duration呈反向变动的含意？ 05/02 20:49
5F：→ taurus1982:本来平价变成折价 表示市场利率上升，在凸性为正时， 05/02 22:22
6F：→ taurus1982:折现率越高，duration(价格敏感度)越小，画图就可看出 05/02 22:22
7F：→ taurus1982:曲线斜率越平 05/02 22:22