标题: CFAI text V4 P112: Example 10 [打印本页] 作者: Dapper425 时间: 2013-4-10 17:59 标题: CFAI text V4 P112: Example 10
How come the answer indicates the new bond market value = dollar duration of old bond / DOLLAR DURATION of new bond * 100? Yet the equation above example 10 (on the same page) indicates the new bond market value = dollar duration of old bond / DURATION of new bond * 100. Can anyone tell the why it’s different?作者: needhelp1700 时间: 2013-4-10 18:00
thanks, this is very helpful! sometimes the wordings are little bit confusing…作者: leadcfa 时间: 2013-4-10 18:00
The fixed-income readings are vague and sometime can be misleading ! I spent very much time but still some questions remained.作者: Nishant1 时间: 2013-4-10 18:00
So, to say “dollar duration of 4.5 per bond” is the same as to say “duration of 4.5”?
Sorry to beat to death, but I re-read the passage 3 times & your response and it hasn’t sunk in yet.作者: ShooterMcCFA 时间: 2013-4-10 18:00
I am sorry again that I made mistakes again because I am in a hurry.
Please double check if I am right in deriving the formula as follows.
DD(N)pb = D(N) x MV(N)pb x 0.01 = D(N) = DD(N)pb/ [MV(N)pb x 0.01]
= D(N) = [DD(N)pb/ [MV(N)pb] x 100 = [DD(N)pb x 100]/ [MV(N)pb]
= MV(N) = [DD(O) / D(N)] x 100 = [DD(O) x 100] / {[DD(N)pb x 100]/ [MV(N)pb]}
= [DD(O) / DD(N)pb] x MV(N)pb
PV(N)
= MV(N) x [PV(N)pb / MV(N)pb] = {[DD(O) / DD(N)pb] x MV(N)pb} x [PV(N)pb / MV(N)pb]
= [DD(O) / DD(N)pb] x PV(N)pb
In this example DD(O) = 220,000 DD(N)pb=5x90x0.01=4.5 PV(N)pb = 100
= PV(N) = (220.000/4.5) x 100 = 4.899M
PV(N) : Total par value of new bond
PV(N)pb : par value per new bond
It is simplified in the example while actually it is complicated !
