Duration的問題 - 金融分析師

Damian avatar
By Damian
at 2014-04-26T21:39

Table of Contents

A newly issued non-callable fixed-rate bond with 30 year maturity carries a
coupon rate of 5.5% and trades at par. Its duration is 15.33 years and its
convexity is 321.03. Which of the following statements about this bond is true?

A. If the bond were to start trading at a discount, its duration would decrease
B. If the bond were to start trading at a premium, its duration would decrease.
C. If the bond were to start trading at a discount, its duration would not change.
D. If the bond were to remain at par, its duration would increase as the bond aged.
答案是A，不懂他的意思，及如何判斷
感謝指教

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All Comments

Tom avatar
By Tom
at 2014-05-01T15:23
duration的定義平均多久的時間拿回本金+利息
Odelette avatar
By Odelette
at 2014-05-06T10:56
折價發行 duration就會decrease
Noah avatar
By Noah
at 2014-05-11T04:44
謝謝 我糾結錯方向了 感謝
Frederic avatar
By Frederic
at 2014-05-15T14:15
A選項是否有YTM和duration呈反向變動的含意？
James avatar
By James
at 2014-05-17T00:06
本來平價變成折價 表示市場利率上升，在凸性為正時，
折現率越高，duration(價格敏感度)越小，畫圖就可看出
曲線斜率越平

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