2008 CFA Level 1 － Sample 样题(1)－Q52 black, class, style

8586

52、An analyst determines that an 8% option-free bond, maturing in 2015, would experience a 3% change in price if market interest rates rise by 50 basis points. If market interest rates instead fall by 50 basis points, the bond's price would:

A. increase by exactly 3%.

B. increase by less than 3%.

C. decrease by less than 3%.

D. increase by more than 3%.

 

[此贴子已经被作者于2008-11-7 15:15:06编辑过]

8586

Correct answer = D

"Introduction to the Measurement of Interest Rate Risk," Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 480-484
Study Session 16-69-b
demonstrate the price volatility characteristics for option-free, callable, prepayable, and putable bonds when interest rates change
The bond is option-free and will therefore exhibit positive convexity. An equal change in rates will produce a greater percentage gain when rates decrease than the percentage loss produced when rates increase. 

 

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