题目
An investor buys a three-year bond with a 5% coupon rate paid annually. The bond, with a yield-to-maturity of 3%, is purchased at a price of 105.657223 per 100 of par value. Assuming a 5-basis point change in yield-to-maturity, the bond’s approximate modified duration is closest to:
选项
A.2.78.
B.2.86.
C.5.56.
答案
A
解析
A is correct. The bond’s approximate modified duration is closest to 2.78. Approximate modified duration is calculated as:「huixue_img/importSubject/1564548169013006336.png」 这道题目问的是投资者购买三年期债券，每年支付5%的票面利率。该债券的到期收益率为3%，购买价格为面值的105.657223/100。假设到期收益率变化5个基点，债券的近似修正久期最接近： A是正确的。债券的大近似修正久期为2.78。计算如下：