求助两道有关bond的题目

tianz.sky

2062

收藏 2010-10-06

悬赏 4 个论坛币未解决

1. government of Canada bonds as of September 25, 2009 yield curve as follows

Marturity	Yield (%)
3	1.95
5	2.568
7	2.931
10	3.426
20	3.715
30	3.885

state any anomalies that you may observe and offer an explanation as to why.
2.there are some bonds as follows:
bond a) 2-year, 9% annual-pay coupon bond priced at par. duration:1.759 convexity 4.772
bond b)2-year, zero-coupon bond priced at $708.42. duration:1.835 convexity 4.208
Bond c)2.5-year, 9% annual-pay coupon bond priced at par. duration: 2.176 convexity 6.918
Bond d)2.5-year, 7% semi-annual pay coupon bond priced at par. duration: 2.258 convexity 6.394
Bond e) 1.5year, 7% semi-annual pay coupon bond priced at par. duration: 1.401 convexity 2.676
Bond f)  1.5 year, zero-coupon bond priced at $816.30. duration :1.402 convexity 2.62
1)Which bond has the greatest sensitivity to interest changes? Why?
2) For an annualized 1% decrease in rates, what would be the approximate change in the price of bonds d) and e) above?
3)  Which bond has the greatest non-symmetric capital gain and capital loss characteristics?
4) If you were an institutional investor and anticipated that the yield curve would have a uniform parallel shift downwards in the near future, which bond would you select？  谢谢啦~~

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蓝色清风

2010-10-8 13:37:43

查查固定收益证券的书呗

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沐春风er

2010-12-7 23:05:17

2(a)Bond d has the highest sensitivity to interest change, because it has the longest duration,and relatively less convexity.(You may deduce it from dP/dy=-D*dy+1/2*C*dy^2)
(b)It is easy to conculate by using dP/dy=-D*dy+1/2*C*dy^2)
(d) Bond e, the one that has lowest sensitivity to interest change

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