2008 CFA Level 1 － Sample 样题(1)－Q54 style, black, class

8586

54、The table below summarizes the yields and corresponding prices for a hypothetical 15-year option-free bond that is initially priced to sell at 7% yield:

Yield(%)	Price($)
6.90%	100.9254
7.00%	100.0000
7.10%	99.0861

Using a 10 basis point rate shock, the effective duration for this bond is closest to:

A. 4.6 years.

B. 7.5 years.

C. 9.2 years.

D. 15.0 years.

[此贴子已经被作者于2008-11-7 15:10:25编辑过]

8586

Correct answer = C

"Introduction to the Measurement of Interest Rate Risk," Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 488-489
Study Session 16-69-d
compute and interpret the effective duration of a bond, given information about how the bond's price will increase and decrease for given changes in interest rates, and compute the approximate percentage price change for a bond, given the bond's effective duration and a specified change in yield

 

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2008-5-19 16:25

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peter123

[em02]

fatiger

3

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Riverview

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gening

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isaisaisa

c