百度试题 题目The presence of an embedded call option will decrease the effective duration of a bond: 相关知识点: 试题来源: 解析 only when interest rates are falling.
2、The effective duration of Bond #6 is:【单选题】 A. lower than or equal to 1. B. higher t
Current price of $660 A price of $639 when interest rates rise 50 basis points A price of $684 when interest rates fall 50 basis points A. 3.1.B. 6.8.C. 6.5. 正确答案:B 分享到: 答案解析: The formula for calculating the effective duration of a bond is: where: V- = bond ...
A bond has an effective duration of 7.5 and a convexity of 104.0. If yields rise by 82 bps, the price of the bond will:A. decrease by 5.80%.B. increase by 6.50%.C. increase by 6.15%.D. decrease by 6.15%. 正确答案:A 分享到: 答案解析: %DPrice = [–7.5 ´ 0.0082 ´ 100]...
Effective duration takes into consideration embedded options in the bond. Modified duration does not consider the effect of embedded options. For option-free bonds, modified duration will be similar to effective duration. Both duration measures are based on the value impact of a parallel shift in ...
bond,MBS底层房贷的借款人有提前还款的权利,类似callable发行人提前赎回的权利,所以用effective duration...
百度试题 结果1 题目Effective duration is essential to measuring interest rate risk of a bond with an embedded call option because: 相关知识点: 试题来源: 解析 it is measured as sensitivity to changes in the yield-to-worst.
Point 1: A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate. Point 2: A bond’s empirical duration tends to be larger than its effective duration. Point 3: The price sensitivity of high-yield bonds...
Effective duration = (P(1) - P(2)) / (2 x P(0) x Y) Example of Effective Duration As an example, assume that an investor purchases a bond for 100% par and that the bond is currently yielding 6%. Using a 10 basis-point change in yield (0.1%), it is calculated that with a ...
A bond has an effective duration of 7.5 and a convexity of 104.0. If yields rise by 82 bps, the price of the bond will: A. decrease by 5.80%. B. increase by 6.50%. C. increase by 6.15%. D. decrease by 6.15%.相关知识点: 试题来源: ...