05.单选题 已收藏 标记 纠错 A bond with a semi-annually coupon rate of 3% sells for $850. It has a modified duration of 10 and is priced at a yield to maturity (YTM) of 8.5%. If the YTM increases to 9.5%, the predicted change in price, using the duration concept decreases by: A $85.00. B $77.56. C $79.92. 查看解析 上一题 提交试卷 正确答案A 您的答案B本题平均正确率：80% Different types of Duration难度：一般 推荐：      答案解析 Approximate price change of a bond = (-)(duration)(Δy) P = -10（9.5% - 8.5%）$850 = (-0.1) ($850) = -$85 问：这里的价格为什么用原始价格，这里套公式没问题，但是问题是用哪个P搞不清楚，老师可否说的明白一些，让我好理解？

03.单选题 已收藏 标记 纠错 Which of the following statements about duration is most accurate? A Effective duration accounts for changes in a bond’s cash flows resulting from interest rate changes. B Modified duration is the most appropriate measure of interest rate sensitivity for bonds with embedded options. C Effective duration is calculated from past price changes in response to changes in yield. A 答案解析 Neither Macaulay nor modified duration is an appropriate measure of interest rate risk for bonds with embedded options. Macaulay duration does not take the current YTM into account as modified duration does. Effective duration, however, explicitly takes into account changes in a bond’s cash flows due to interest rate changes and is calculated from expected price changes in response to a given increase or decrease in yield. 问：记得不是说 effective duration是 从市场上找来的 V- 和 V+，所以为什么C说是expected cash flow，这里的现金流到底是预估的还找来的？

case4，最后一题，原版书答案为什么说“Had V and B a/c been reviewed ...,was no longer suitabel for either”, 对于V，k不是已经review 了吗？

请问原版书case4，第一题，就是216页，第19题，为什么答案是节省了大概800元？

老师您好！ 课本132页的money duration概念中指出money duration 可以用per 100 of par value 表达，也可以用actual position size表示，算出来的结果不一样吧？ 比如假如说bond的par amount 是2000，value假如是2080，duration是10: 那么用per 100 of par value 计算出来的money duration就是=10*2080/2000*100=1040 而用actual position size 计算出来的就是=10*2080=20800 对吗？ 老师辛苦了！

老师，这道题能不能帮我讲一下第二问

老师 这道题目为什么不选B？ A选项exposure=0 B选项exposure=-60 C选项exposure=-30。题目中问的是reduce exposure，在未做改变之前exposure=-30，所以B选项才是reduce呀？

老师你好，我想问一下这里的利率平价公式是不是错了，另外这个是研究fx和fc之间的同向变动关系，是如何推导的，能具体说一下吗？不是很理解

老师您好，我看视频时记的笔记上写，Foundation的liquidity need= spending rate + expenses ，不包括inflation，因为不是真正的cash flows。这是什么意思？为什么return objective里面就包括inflation rate，而liquidity need里就不包括？谢谢。

请老师分析一下on upswings...cash on downswings句子的语法结构，谢谢！