岳同學(xué)
2020-11-09 16:50請(qǐng)問(wèn)這題這樣的寫法有沒(méi)有需要加強(qiáng)的? Bond 3 declines the most given the expectation of the forecasted yield curve movement; 1. The spread duration is a measurement of price sensitivity of a bond to changes in underlying spread. A bond with a higher spread duration indicates a higher sensitivity to changes in prices given changes in underlying spreads; 2. Bond 3 has the highest spread duration, which indicates the highest price sensitivity to changes in underlying spread. The spread is expected to increase. Bond 3 is expected to have a negative impact on price the most compared with bond1 and 2. Bond 3 will underperform bond 1 and 2.
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Nicholas助教
2020-11-10 16:32
該回答已被題主采納
同學(xué)，下午好。
這里還是需要區(qū)分Duration和Spread duration，并且說(shuō)明Fixed和Floating rate的區(qū)別，但是這樣描述可能比較費(fèi)時(shí)間。所以一個(gè)替代的解決方案就是分別計(jì)算出Benchmark 改變對(duì)價(jià)格的影響已經(jīng)Spread改變對(duì)價(jià)格的影響，用數(shù)據(jù)說(shuō)話，很明顯我們會(huì)看到Bond 3的價(jià)格降低變動(dòng)是最大的。
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