问题
单项选择题
An investor gathered the following information about two 7 percent annual-pay, option-free bonds: Bond R has 4 years to maturity and is priced to yield 6 percent Bond S has 7 years to maturity and is priced to yield 6 percent Both bonds have a par value of $1000. Given a 50 basis point parallel upward shift in interest rates, what is the value of the two-bond portfolio（）
A. $2044.
B. $2030.
C. $2086.
答案
参考答案：A
解析：
Given the shift in interest rates, Bond R has a new value of $1017 (N=4, PMT=70, FV=1000, I/Y=6.50%, CPT PV=1017). BondS’s new value is$1027 (N=7, PMT=70, FV=1000, L/y =6.50%, CPT PV=1027). After the increase in interest rates, the new value of the two-bond portfolio is $2044(1017+1027).