岳同學
2020-11-09 16:50請問這題這樣的寫法有沒有需要加強的? 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
來源： 視頻位置 相關(guān)試題
1個回答
Nicholas助教
2020-11-10 16:32
該回答已被題主采納
同學，下午好。
這里還是需要區(qū)分Duration和Spread duration，并且說明Fixed和Floating rate的區(qū)別，但是這樣描述可能比較費時間。所以一個替代的解決方案就是分別計算出Benchmark 改變對價格的影響已經(jīng)Spread改變對價格的影響，用數(shù)據(jù)說話，很明顯我們會看到Bond 3的價格降低變動是最大的。
致正在努力的你，望能解答你的疑惑~
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