54． Modified convexity and effective convexity differ in that effective convexity can be:
Select exactly 1 answers from the following:
A. negative when modified convexity is positive for option-free bonds.
B. positive when modified convexity is negative for option-free bonds.
C. negative when modified convexity is positive for bonds with embedded options.
D. positive when modified convexity is negative for bonds with embedded options.
答案和详解如下！ Feedback: Correct answer: C Fixed Income Analysis for the Chartered Financial Analyst Program, 2nd edition, Frank J. Fabozzi (Frank J. Fabozzi Associates, 2004), pp. 242 2006 Modular Level I, Vol. IV, pp. 249 Study Session 15-68-g differentiate between modified convexity and effective convexity
For option-free bonds, both modified and effective convexity will be positive. For bonds with embedded options, effective convexity can be negative when modified convexity is positive because effective convexity assumes that the cash flows change when yields change.
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发表于 2006-11-22 11:10
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