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标题: Reading 67: Introduction to the Measurement of Interest Rate [打印本页]

作者: 1215 时间: 2011-3-30 16:23 标题: [2011]Session16-Reading 67: Introduction to the Measurement of Interest Rate

Session 16: Fixed Income: Analysis and Valuation
Reading 67: Introduction to the Measurement of Interest Rate Risk

LOS j: Calculate the price value of a basis point (PVBP), and explain its relationship to duration.

The price value of a basis point (PVBP) of a bond is $0.75. If the yield on the bond goes up by 1 bps, the price of the bond will:

A)
decline by $0.75.

B)
increase by $0.75.

C)
increase or decrease by $0.75.

Inverse relationships exist between price and yields on bonds. The larger the PVBP, the more volatile the bond’s price.

作者: 1215 时间: 2011-3-30 16:23

The price value of a basis point (PVBP) for a 18 year, 8% annual pay bond with a par value of $1,000 and yield of 9% is closest to:

A)
$0.80.

B)
$0.44.

C)
$0.82.

PVBP = initial price – price if yield changed by 1 bps.

Initial price:	Price with change:
FV = 1000	FV = 1000
PMT = 80	PMT = 80
N = 18	N = 18
I/Y = 9%	I/Y = 9.01
CPT PV = 912.44375	CPT PV = 911.6271

PVBP = 912.44375 – 911.6271 = 0.82
PVBP is always the absolute value.

作者: 1215 时间: 2011-3-30 16:23

The price value of a basis point (PVBP) for a 7-year, 10% semiannual pay bond with a par value of $1,000 and yield of 6% is closest to:

A)
$0.64.

B)
$0.92.

C)
$0.28.

PVBP = initial price – price if yield changed by 1 bps.

Initial price:	Price with change:
FV = 1000	FV = 1000
PMT = 50	PMT = 50
N = 14	N = 14
I/Y = 3%	I/Y = 3.005
CPT PV = 1225.92	CPT PV = 1225.28

PVBP = 1,225.92 – 1,225.28 = 0.64
PVBP is always the absolute value.

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