yield curve, duration question (fixed income)
hi, this question is found in schweser fixed income selftest:
Q: Which of the following bonds would be the best one to own if the yield curve shifts down by 50 BP at all maturities?
a) 5 year 8%, 8% YTM
b) 4 year 8%, 8% YTM
c) 5 year 8%, 7.5% YTM
d) 5 year 8.5%, 8% YTM
the answer says the best one to own would be the one with highest duration, i.e. c). is that because the one with highest duration implies biggest price increase?
if the question had asked instead, which bond would be the best to own if the yield curve shifts up by 50 BP, would the correct answer be the bond with lowest duration??
thanks in advance.. |
发表于 2013-4-7 10:52
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