Using the information below, which bond ...

题目

Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest?「huixue_img/importSubject/1564548168677462016.png」

选项

A.Bond A

B.Bond B

C.Bond C

答案

B

解析

B is correct. Bond B has the greatest money duration per 100 of par value. Money duration (MoneyDur) is calculated as the annual modified duration (AnnModDur) times the full price (PVFull) of the bond including accrued interest. Bond B has the highest money duration per 100 of par value.「huixue_img/importSubject/1564548168761348096.png」 这道题目问的是使用下面的信息，假设每年支付息票而没有应计利息，那么每100面值中哪种债券的货币久期最大？ B是正确的。债券B的票面价值每100英镑的货币久期最长。货币久期（MoneyDur）按年化修正久期（AnnModDur）乘以债券的全额（PVFull）计算，包括应计利息。债券B的票面价值每100元有最高的货币久期。