楊同學(xué)
2022-06-10 11:45原版書，18.7bps，莫名的縮小了100倍。解題過程里沒有乘以ytm。我認(rèn)為note（后者）對的，但與原版書例20以及課后第21題不符。請教老師該怎么處理？
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
2022-06-13 09:47
該回答已被題主采納
同學(xué)，早上好。
同學(xué)的理解是正確的，這里勘誤了。
First, we solve for the expected change in YTM based on a 99% confidence interval for the
bond and a 1.75% yield volatility over 21 trading days, which equals 65.9 bps = (6.174 bps ×
2.33 standard deviations × 21).We can quantify the bond’s market value change using either a
duration approximation or the actual price change as follows. We can use the Excel
MDURATION function to solve for the bond’s duration as 12.025. We can therefore
approximate the change in bond value using the familiar (?ModDur × ΔYield) expression as
$3,605,636 = ($50 million × 0.91 × (?12.025 × .00659)). We can also use the Excel PRICE
function to directly calculate the new price of 88.982 and multiply the price change of 2.018 by
the face value to get $1,009,000.
6.174bps=1.75%*3.528%，其他的是相同的。
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