题目
On a single day the price of a corporate bond with a modified duration of 4.52 years drops from $87.20 to $85.65. If the benchmark yield increases by 10 basis points during the day, which is nearest to the approximate change in the bond's credit spread?
选项
A.Increase of 29 bps
B.Increase of 19 bps
C.Approximately unchanged
D.Decrease of 15 bps
答案
A
解析
deltaP=－D×P×deltay, deltay=39.26bpsIf the benchmark index increased by 10 basis points, then the credit spread increased by about 39.326 - 10.0 = 29.326 bps.这道题的解析如下：