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5 年债：久期 3.5，利率降 50bp

A five year bond

专题
Finance / 金融
难度
L4

题目详情

A five year bond with 3.5 years duration is worth 102. What is the value of the bond if the yield decreases by fifty basis points?

解析

久期近似：

ΔB≈−DBΔy.\Delta B\approx -DB\Delta y.

B=102,D=3.5,Δy=−0.005B=102,D=3.5,\Delta y=-0.005，所以

ΔB≈−3.5×102×(−0.005)=1.785.\Delta B\approx -3.5\times 102\times (-0.005)=1.785.

新价格约

103.785.\boxed{103.785}.