A. less time consuming.
B. easier to model.
C. more accurate.
第1题
Which of the following is a shortcoming of the full value approach to measuring the interest rate risk of a bond portfolio, compared to the duration/convexity approach?
A. It ignores the impact of embedded options.
B. It is relatively time consuming.
C. It cannot be used for stress testing.
第2题
Lei Lee makes the following statement about putable bonds: As yields rise, the price of putable bonds will fall more quickly than comparable option-free bonds (beyond a critical point) due to the decline in value of the embedded put option. Meimei Han adds that as yields fall, the price of putable bonds will climb more quickly than comparable option-free bonds (beyond a critical point) due to the increase in value of the embedded put option. Are their statements about putable bonds correct?
A. Neither statement is correct.
B. Both statements are correct.
C. Only one of the statements is correct.
第3题
Bond B is currently trading at 1,015 with an effective duration of 6.88. If the market interest rate fell by 25 basis points, the new price would beclosest to:
A. $998
B. $1,015
C. $1,032
第4题
Changes in a bond’s cash flows associated with yield changes would be reflected in the bond’s:
A. modified duration
B. Macaulay duration
C. effective duration
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