Is it true that:
an optionfree bond’s price sensitivity is negatively correlated with the level of market interest rates?
I thought the answer should be No, because if level of market interest rate is low, the bond would be sold a premium, having less interest rate risk and less duration, price sensitivity should be lower. Therefore the price sensitivity would be positivity correlated with the market interest rates.
Am I wrong?作者: Viceroy 时间: 2013-4-17 17:31
doesnt it just mean rates up = price down?作者: trogulj 时间: 2013-4-17 17:31
means rates up = duration down作者: KungFuPanda 时间: 2013-4-17 17:31
to see why this is true, look @ the slope of a priceyield curve作者: fishmarket 时间: 2013-4-17 17:31
CFAI text pg 268 (Equity and Fixed income: Reading 63, topic impact of yield level) read the last para and it clearly says, interest rates high price sensitivity low and also interest rates low price sensitivity high.
