As a zero-coupon bond approaches its mat...

题目

As a zero-coupon bond approaches its maturity date (i.e., as the term to maturity decreases). EACH of the following is necessarily true EXCEPT:

选项

A.The price increases

B.The price volatility decreases

C.The Macaulay duration decreases

D.The dollar value of an ‘01 (DV01) decreases

答案

D

解析

As DV01 = D×P×0.0001, price (P) is increasing but (D) is decreases with mixed influence. In regard to (A), (B), and (C), each is TRUE.当DV01 = D×P×0.0001时，价格P上升，但D下降，其乘积不一定是下降的。ABC都是正确的。