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题目 A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of USD 1000, but A is a zero-coupon bond and its current price is USD 900, and bond B [...]

题目 Assume you own a security with a 2-year key rate exposure of $4.78, and you would like to hedge your position with a security that has a corresponding 2-year key rate exposure of 0.67 per $100 [...]

题目 Calculate the Macaulay Duration of a two-year bond paying an annual coupon of 6% with yield to maturity of 8%. Assume par value of the bond to be $1,000. 选项 A.2.00 years B.1.94 years [...]

题目 Each of the following bond risk measures assumes a parallel shift in the yield curve EXCEPT FOR: 选项 A.Duration B.Convexity C.Yield-based DV01 D.Key rate shift 答案 D 解析 Convexity is [...]

题目 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how [...]

题目 An 8-year 5% coupon bond with at par value of 100 is currently trading at a price of 94.65. The price of this bond rises to 96.35 when interest rates fall by 30 basis points and falls to 92.75 [...]

题目 Bonds issued by the XYZ Corp. are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8%. The yield on the XYZ bonds is 175 basis points [...]

题目 The modified duration is 10.46 years of a bond with a current price of $716.38. What is the bond's DV01? 选项 A.$0.40 B.$0.75 C.$1.25 D.Need more information (yield, maturity) 答案 B [...]

题目 What is the price impact of a 10 basis point increase in yield on a 10-year par bond with a modified duration of 7 and convexity of 50? 选项 A.-0.705% B.-0.700% C.-0.698% D.-0.690% 答案 C [...]

题目 For which is duration LEAST appropriate? 选项 A.Zero coupon bond B.bond with fixed cash flows C.Bond with embedded option D.High convexity bond 答案 C 解析 Measures [based on the [...]