问题
单项选择题
Consider a bond , par value $100 , that pays an annual coupon of 5 percent and that has three years remaining until maturity. Suppose the term structure of interest rates is flat at 6 percent. How much does the bond price change if the term structure of interest rates shifts down by 1 percent instantaneously（）
A. -2.67.
B. 2.67.
C. 0.00.
答案
参考答案：B
解析：
This value is compute as follows: Bond Price Change = New Price - Old Price = 100-(5/1.06+5/1.062+105/1.063)=2.67. -2.67 is the correct value but the wrong sign. The value 0.00 is incorrect because the bond price is not insensitive to interest rate changes.