关于凸度的一道题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

问：一种息票率为6％、每年付息两次、凸度为120的债券按面值的80％出售，到期收益率为8％。如果到期收益率提高到9.5%，则凸度对其价格变动比例的贡献是多少？

答案是1.35%

请教各位，这是怎么求出来的？多谢！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：到期收益率 价格变动 收益率 是多少 收益率

做的对

凸度对价格比例的贡献是不是应该是DP/P=凸度*DY^2,如果是的话算出来似乎不是1。35%呢？是否哪里考虑不周，请楼上的给出详细的步骤

以下是引用垃圾树在2006-6-15 10:31:00的发言：
凸度对价格比例的贡献是不是应该是DP/P=凸度*DY^2,如果是的话算出来似乎不是1。35%呢？是否哪里考虑不周，请楼上的给出详细的步骤

我也是用同样的方法，但与答案不符。还请2楼的兄弟明示，谢谢！

hehe! The answer is wrong. There is the same one in exam flash back in Notes 5 (page 122). But the 凸度 is 60. The answer is 1.35%. Off course, you can said "Professor's Note: Different dealers may calculate the convexity measure differently. Often the measure is calculated in a way that requires us to divide the measure by two in order to get the correct convexity adjustment. For exam purposes, the formula we've shown here is the one you need to know. (See Exam flashbacks #9)" (Page 118)

Stick with Notes.

hehe!  The answer is wrong.  There is the same one in exam flash back in Notes 5 (page 122).  But the 凸度 is 60.  The answer is 1.35%.   Off course, you can said "Professor's Note:  Different dealers may calculate the convexity measure differently.  Often the measure is calculated in a way that requires us to divide the measure by two in order to get the correct convexity adjustment.  For exam purposes, the formula we've shown here is the one you need to know.  (See Exam flashbacks #9)" (Page 118)Stick with Notes.

what's the meaning of "See Exam flashbacks #9)" (Page 118)Stick with Notes.?

"Stick with Notes" means following Notes's explaination and answers.

"See Exam flashbacks #9)" -- is the quoted content from Notes.

(Page 118) -- On page 118 of the book 5 of Notes, you can see the text above.

不知道fufufufu兄指的是哪本书？

这道题目运用有效凸度公式很容易计算出来的