作者rosso0922 (嗶波)
看板CFAiafeFSA
標題[問題] duration的相關問題
時間Mon Jan 21 14:26:59 2013
最近準備考試的時候碰到幾題的簡答題有一點苦手
請板上高手給點意見
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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◆ 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. 不對...只能怪我學藝不精. Orz. 01/21 19:12
5F：推 ERERE:c.保單的實質存續期間可能為負，因為有雙向的現金流。 01/22 00:32
6F：→ ERERE:a.題我覺得是對的耶!dollar duration除以價格P不就是MD~ 01/22 00:36
7F：推 tingkang:A是錯的 還要考慮債券凸性 01/23 23:44
8F：→ tingkang:B也是錯的 理由同上 01/23 23:45
9F：→ tingkang:C是對的 EX.可贖回債券 01/23 23:48
10F：→ rosso0922:C瞭解了我查盧揚政的書也是此解 01/25 20:59
11F：→ rosso0922:但是B不是不受到yield的影響嗎... 01/25 20:59