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FRM試題:Interest Risk

發(fā)布時間:2015-09-02 17:25    來源:高頓網(wǎng)校 我要發(fā)言   [字號: ]

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  What is a consol bond? What is the duration of a consol bond that sells at a yield to maturity of 8 percent? 10 percent? 12 percent? Would a consol trading at a yield to maturity of 10 percent have a greater duration than a 20-year zero-coupon bond trading at the same yield to maturity? Why?
 
  D = 1 + 1/R
 
  A consol is a bond that pays a fixed coupon each year forever. A consol trading at a YTM of 10 percent has a duration of 11 years, while a 20-year zero-coupon bond trading at a YTM of 10 percent, or any other YTM, has a duration of 20 years because no cash flows occur before the twentieth year.

 
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