问题
单项选择题
Consider a bond that pays an annual coupon of 5% and that has three years remaining until maturity. Assume the term structure of interest rates is flat at 6%. If the term structure of interest rates does not change over the next twelve-month interval, the bond’s price change (as a percentage of par) will be closest to:
A．
| A. -0.84. |
B．
| B. -0.56. |
C．
| C. 0.84. |
答案
参考答案：C
解析：
The bond price change is computed as follows:
Bond Price Change=New Price-Old Price=(5/1.06+105/1.062)-(5/1.06+5/1.062+105/1.063)=98.17-97.33=0.84. The value-0.84 is the correct price change but the sign is wrong.