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FRM一级每日一题 【金融市场与产品】

发表时间:2015-02-04 来源: 告诉小伙伴:
【编者按】A $1,000 par bond with 22 years to maturity and a 4% semiannual coupon has a yield to maturity of 5%. Assuming a 5 basis point change in yield, what’s the convexity of this bond?
A $1,000 par bond with 22 years to maturity and a 4% semiannual coupon has a yield to maturity of 5%. Assuming a 5 basis point change in yield, what’s the convexity of this bond?
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Answer: A

N = 2×22; PMT = 40/2; FV = 1,000; I/Y = 5/2; CPT→PV = 867.481 = V0

N = 2×22; PMT = 40/2; FV = 1,000; I/Y = 5.05/2; CPT→PV = 861.484 = V+

N = 2×22; PMT = 40/2; FV = 1,000; I/Y = 4.95/2; CPT→PV = 873.534 = V-

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