答案和详解如下： 6.For a given change in yields, the difference between the actual change in a bond’s price and that predicted using the duration measure will be greater for: A) a bond with greater convexity. B) a short-term bond. C) inverse convexity. D) a bond with less convexity. The correct answer was A) Duration is a linear measure of the relationship between a bond’s price and yield. The true relationship is not linear as measured by the convexity. When convexity is higher, duration will be less accurate in predicting a bond’s price for a given change in interest rates. Short-term bonds generally have low convexity. 7.How does the convexity of a bond influence the yield on the bond? All else the same, for a bond with high convexity investors will require: A) a higher yield. B) a lower yield. C) the same yield as for a low convexity bond. D) a higher or lower yield depending on the bond's duration. The correct answer was B) Convexity is to the advantage of the bond holder because a high-convexity bond's price will decrease less when rates increase and will increase more when rates decrease than a low-convexity bond's price. 8.Why is convexity a good thing for a bond holder? Because when compared to a low convexity bonds a high convexity bond: A) is usually underpriced. B) is more sensitive to interest rate changes, increasing the potential payoff. C) has improved estimation of price changes. D) has better price changes regardless of the direction of the yield change. The correct answer was D) Relative to a bonds with low convexity, the price of a bond with high convexity will increase more when rates decline and decrease less when rates rise. | 
发表于 2008-5-15 17:21
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