Consider a 25-year, $1000 par semiannual-p

问题单项选择题

Consider a 25-year, $1000 par semiannual-pay bond with a 7.5% coupon and a 9.25% YTM. Based on a yield change of 50 basis points, the effective duration of the bond is closest to:（）

A. 8.73.

B. 10.03

C. 11.45.

答案

参考答案：B

解析：

Calculate the new bond prices at the 50 basis point change in rates both up or down and then plug into the effective duration equation: Current Price: N=50; FV=1000; PMT=(0.075/2)×1000=37.50; I/Y=4.625; CPT →PV=$ 830.54 +50 Basis Pts: N=50; FV=1000; PMT=(0.075/2)×1000=37.50; I/Y=4.875; CPT →PV=$ 790.59 -50 Basis Pts: N=50; FV=1000; PMT=(0.075/2)×1000=37.50; I/Y=4.375; CPT →PV=$ 873.93.