题目
At a rate of 4.00% a bond has a price of $107.93. If the rate drops by one basis point to 3.99%, the bond price increases to $108.00. What is an estimate of the bond's effective duration?
选项
A.5.83 years
B.6.49 years
C.7.21 years
D.8.55 years
答案
B
解析
The bond's DV01 = $108.00 - 107.93 = $0.07,and since D× = DV01×10,000/P,D× = 0.07×10,000/107.93 = 6.486.Alternatively, we can use D× = -1/p×dP/dy = =1/p×slope, where slope is rise/run = (108.00- 107.93)/(4.00% - 3.99%), such that 1/P×dP/dy = [(108.00-107.93)/107.93]/(4.00% - 3.99%) = 6.486 years债券的DV01 = $108.00 ? 107.93 = $0.07, and since D× = DV01×10,000/P,D?= 0.07×10,000/107.93 = 6.486.或者，D = －1/p×dP/dy = =1/p×slope, where slope is rise/run = (108.00－107.93)/(4.00% －3.99%), such that 1/P×dP/dy = [(108.00－107.93)/107.93]/(4.00% －3.99%)= 6.486 years