Yes! I had finished the test 28 minutes early and the proctor didn't let me leave so I just sat there thinking about the amount of drinking I'd be doing later that night when it came to me; I got the last answer wrong! I went back and changed it to less than 4%...I remember it asked what the price change would be if the yield increased by 200 bps given a duration of 4.
Duration is an approximation, i.e. it is a straight line when the actual price change is convex. For a large BP change, it is always be less than for a yield increase and more than for a yield decrease.
Now this has me thinking. Isn't the % change is price formula equal to:
-De*change in r + C*change in r^2
If the rate goes up the price should decrease by -4 * .02 + the effect of convexity. That would be -.08 + what ever effect convexity has which was not indicated.
Was this possibly one of the tricky CFAI questions as the choices were greater than 4%, %4 and less than %4. With that said -8% is still less than %4!
Now this has me thinking. Isn't the % change is price formula equal to:
-De*change in r + C*change in r^2
If the rate goes up the price should decrease by -4 * .02 + the effect of convexity. That would be -.08 + what ever effect convexity has which was not indicated.
Was this possibly one of the tricky CFAI questions as the choices were greater than 4%, 4% and less than 4%. With that said -8% is still less than 4%!
发表于 2011-7-11 20:08
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