发帖
雷达卡
正在看视频，Reading44中有个Example，在PDF文件上的p58，
题目如下
Durable, Inc., bonds have a duration of 5.6 years and a convexity of 38.2.
Conversion Force, Inc., bonds have a duration of 7.3 years and a conversity of 38.2.
Determine which bond is exposed to more interest rate risk.
Answer:
Conversion Force bonds have a larger duration than Durable bonds, but the two have equal convexities. That means Conversion Force bonds have greater interest rate risk exposure. To see this, calculate what happens to the price of both bonds if rates increase by 100 basis points:
% change in Conversion Force bond price = (-7.3 x 0.01 x 100) + (38.2 x 0.01^2 x 100) = -6.9%
% change in Durable bond price = (-5.6 x 0.01 x 100) + (38.2 x 0.01^2 x 100) = -5.2%
我的问题是这个计算过程时不时忘了1/2了？
下面是我的计算：
% change in p = (-Duration x yield change) + 1/2 x conversity x (yield change)^2
% change in Conversion Force bond price = (-7.3 x 0.01 x 100) + (1/2 x 38.2 x 0.01^2 x 100) = -7.1%
其实按照标准的泰勒展开式来说的话，二阶项上肯定是要乘以1/2的，但是在CFA的考纲中，这个公式的二阶项上的1/2给省略了，省略以后其实对结果的影响也不大。
京公网安备 11010802022788号
