CFAI R31 EOC #6 (Two-bond Hedge) V4 p189
I’m having trouble getting the same values as the CFAI solution. In particular, when they calculate the percentage of price changes for the 2 year and the 10 year notes, they get values that don’t match mine.
Price of 2-year bond = 106.650
Price for increase in yield = 106.122
Price for decrease in yield = 107.300
So to calculate the price change I did:
(106.122 - 106.650)/106.650 = -0.495%
They say its -0.528%
Also, all of my other percentages are off. Am I missing something here?
I also can’t get the values they use in their example in the text. |
发表于 2013-4-12 22:54
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