作业帮CFA一级中关于固定收益部分久期凸性计算的一道题.The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60,respectivelly.If yields increase by 200 bps,the percentage price change is closest to:–23.71%
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CFA一级中关于固定收益部分久期凸性计算的一道题.The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60,respectivelly.If yields increase by 200 bps,the percentage price change is closest to:–23.71%
CFA一级中关于固定收益部分久期凸性计算的一道题.
The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60,respectivelly.If yields increase by 200 bps,the percentage price change is closest to:–23.71%.–17.65%.–20.68%
主要是我不太明白为什么在计算凸性的影响的时候要除以2
CFA一级中关于固定收益部分久期凸性计算的一道题.The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60,respectivelly.If yields increase by 200 bps,the percentage price change is closest to:–23.71%
根据duration,变化2%*10.34=20.68%
再根据convexity修正,肯定是小于20.68%的,就选17.65%
具体变化=-2%*10.34+(1/2)*151.60*2%*2%=-17.648%
至于困扰你的计算convexity时候为什么要除以2,因为duration是利率变化的一阶导数,而convexity是利率变化的二阶导数,泰勒级数的展开的第二项,就是要乘以二分之一,如果有三阶导数,更精确,三阶导数的系数就是六分之一.这是一个纯粹的数学问题.你在考试时,需要记住这个公式.