第7讲第4章久期与凸度3.ppt

Don’t think of duration as a measure of time 第32页/共38页 思考 为什么说用久期衡量利率风险时暗含一个重要假设：债券价格与利率的关系是线性的？ 利用凸性来辅助久期衡量利率风险时，凸性的功能是如何体现的？ 第33页/共38页 questions 1.State why you would agree or disagree with the following statement:as the duration of a zero-coupon bond is equal to its maturity,the price responsiveness of a zero-coupon bond to yield changes is the same regardless of the level of interest rate. 2.State why you would agree or disagree with the following statement:If two bonds have the same dollar duration,yield,and price,their dollar price sensitivity will be the same for a given change in interest rates. 第34页/共38页 3.State why you would agree or disagree with the following statement: For a 1-basis point change in yield,the price value of a basis point is equal to the dollar duration. 4.Consider the following two Treasury securities: Which bond will have the greater dollar price volatility for a 25-basis-point change in interest rates? 5.What are the limitations of using duration as a measure of a bond’s price sensitivity to interest-rate changes? bond price Modified duration(years) A $100 6 B 80 7 第35页/共38页 6.You are a portfolio manager who has presented a report to a client. The report indicates the duration of each security in the portfolio. One of the securities has a maturity of 15 years but a duration of 25. The client believes that there is an error in the report because that the duration cannot be greater than the security’s maturity. What would be your response to this client? 7.”If two portfolios have the same duration, the change in their value when interest rates change will be the same,”explain why you agree or disagree with this statement. 第36页/共38页 8.Consider the following portfolio: a: what is the portfolio’s duration? b:if interest rates for all maturities change by 50 basis points,what is the approximate percentage change in the value of the portfolio? c:what is the contribution to portfolio duration for each bond? bond Market value Duratio