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LOS g, (Part 2): Estimate a bond's percentage price change, given the bond's duration and convexity and a specified change in interest rates.
Q1. For a given bond, the duration is 8 and the convexity is 50. For a 60 basis point decrease in yield, what is the approximate percentage price change of the bond?
A) 4.98%.
B) 4.62%.
C) 2.52%.
Q2. A bond has a duration of 10.62 and a convexity of 91.46. For a 200 basis point increase in yield, what is the approximate percentage price change of the bond?
A) -24.90%.
B) -1.62%.
C) -17.58%.
Q3. If a Treasury bond has a duration of 10.27 and a convexity of 71.51. Which of the following is closest to the estimated percentage price change in the bond for a 125 basis point increase in interest rates?
A) -11.718%.
B) -13.956%.
C) -9.325%.
Q4. Consider a bond with a duration of 5.61 and a convexity of 21.92. Which of the following is closest to the estimated percentage price change in the bond for a 75 basis point decrease in interest rates?
A) 4.33%.
B) 4.21%.
C) 4.12%.
Q5. A bond has a convexity of 25.72. What is the approximate percentage price change of the bond due to convexity if rates rise by 150 basis points?
A) 0.71%.
B) 0.58%.
C) 0.26%.
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发表于 2009-3-5 11:33
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