题目
A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of USD 1000, but A is a zero-coupon bond and its current price is USD 900, and bond B pays annual coupons and is priced at par. What do you expect will happen to the market prices of A and B if the risk-free yield curve moves up by 1 basis point?
选项
A.Both bond prices will move up by roughly the same amount.
B.Both bond prices will move up, but bond B will gain more than bond A.
C.Both bond prices will move down by roughly equal amounts.
D.Both bond prices will move down, but bond B will lose more than bond A.
答案
D
解析
Answer: D Assuming parallel movements to the yield curve, the expected price change is: ΔP = -P×Δy × D where P is the current price or net present value Δy is the yield change D is durationAll else equal, a negative impact of yield curve move is stronger in absolute terms at the bond which is currently priced higher. Upward parallel curve movements makes bonds cheaper.假设收益率曲线平行运动,预期价格变化是:ΔP = - P×D×Δy。P是当前价格或净现值Δy是收益率变化D时间一切平等,收益率曲线移动的负面影响是在绝对强大的债券目前价格更高。向上的平行曲线走势使债券更便宜。