题目
In regard to interest rate factors, which of the following statements is necessarily TRUE?
选项
A.If we estimate the change in bond price using both duration and convexity, we are using a two-factor model
B.Any single-factor interest rate model, by definition, assumes a parallel shift in the term structure of spot rates
C.The spot (zero) rates, par rate and yield (YTM) can be the single interest rate factor, but a forward rate cannot be the single factor as it represents a curve of several rates
D.The yield-based DV01 is a special case of the DV01 in which the single interest rate factor is yield-to-maturity (YTM)
答案
D
解析
In regard to (A), (B), and (C), each is FALSE.In regard to (B), this is tempting. Although the assumption of parallel shift implies a single-factor, the converse is not necessarily true: various maturities only need to shift as a function of a single factor, but for a non-parallel outcome. For example, all spot rates can shift as some function of the 10-year rate. In regard to correct answer (D), Yield-based DV01 assumes that the yield-to-maturity changes by one basis point while the general definition of DV01. To avoid conusion, some market participants have different names for DV01 measures according to the assumed measure of changes in rates. For example, the change in price after a parallel shift in forward rates might be called DVDF or DPDF while the change in price after a parallel shift in spot or zero rates might be called DVDZ or DPDZ."关于（A），（B）和（C），均为FALSE。关于（B），这很诱人。 尽管并行转移的假设暗示了一个单一因素，但反过来并不一定成立：各种成熟度只需要根据单个因素进行转移，而不是平行的结果。 例如，所有即期利率都可能随十年期利率的变化而变化。关于正确答案（D），基于收益率的DV01假定到期收益率变化一个基点，而DV01的一般定义是。 为避免混淆，某些市场参与者根据假定的费率变化量度对DV01量度使用了不同的名称。 例如，在远期汇率平行变动后的价格变化可以称为DVDF或DPDF，而在即期汇率或零利率平行变动后的价格变化可以称为DVDZ或DPDZ。”