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Q6. A bond has a modified duration of 6 and a convexity of 62.5. What happens to the bond's price if interest rates rise 25 basis points? It goes:
A) up 4.00%.
B) down 15.00%.
C) down 1.46%.
Q7. A bond’s duration is 4.5 and its convexity is 43.6. If interest rates rise 100 basis points, the bond’s percentage price change is closest to:
A) -4.06%.
B) -4.50%.
C) -4.94%.
Q8. An investor gathered the following information about an option-free U.S. corporate bond:
- Par Value of $10 million
- Convexity of 45
- Duration of 7
If interest rates increase 2% (200 basis points), the bond’s percentage price change is closest to:
A) -12.2%.
B) -14.0%.
C) -15.8%.
Q9. Assume that a straight bond has a duration of 1.89 and a convexity of 15.99. If interest rates decline by 1% what is the total estimated percentage price change of the bond?
A) 1.56%.
B) 1.89%.
C) 2.05%.
Q10. Which of the following statements about the market yield environment is most accurate?
A) As yields increase, bond prices rise, the price curve flattens, and further increases in yield have a smaller effect on bond prices.
B) For a given change in interest rates, bond price sensitivity is lowest when market yields are already high.
C) Positive convexity applies to the percentage price change, not the absolute dollar price change.
Q11. A bond has a modified duration of 6 and a convexity of 62.5. What happens to the bond's price if interest rates rise 25 basis points? It goes:
A) down 15.00%.
B) up 1.46%.
C) down 1.46%.
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发表于 2009-3-5 11:35
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