Q33

CFA Level II
#21

cfaboston28 Wrote: ------------------------------------------------------- > if 1.5 + 1 for me me too, but I missed the part where it said one year had elapsed, which would reduce it by .05.

#22

for zero coupon bonds the maturiy is the duration, no calculation necessary. simple level 1 material. spot rates you need to divide by 1 +

#23

I had no idea how to get it. I just guessed 1.45.

#24

So…is there any consensus on this question? i put 1.5 thinking 30 duration, never saw anything about 1 year out, was it one year out or not…felt so freakin proud of myself after struggling on this one, i got up, went to the head, washed my face and hands in hot water and soap, went back and realized they were zeros, got 1.5 and moved on…whats the correct answer?:

#25

1.5 was correct.

#26

1.5 percent for me.

#27

I said 1.5% Took me some time to realize the thing about the zero coupons.

#28

Can anybody confirm whether or not the bonds were one year seasoned or not?

#29

Had a brainfart on this one, as I did know the duration, but blanked…luckily I guessed 1.5%!

#30

I said 1.5%

#31

chrismaths Wrote: ------------------------------------------------------- > mhannebert Wrote: > -------------------------------------------------- > ----- > > Again, I’m sorry, but the duration of a z-bond > is > > properly calculated when you divide the term by > > (1+r). > > It’s ok mate, you don’t have to be sorry. But it > would be good if you tried to explain why that is. > I can back up my assertion that you are wrong with > many different sources. If you could back it up > with just one source, I’d be very appreciative. > > I think you have forgotten that we divide by the > price of the bond, not the par value. FWIW, I’d back up chrismaths’ assertion.

#32

> 30 x 0.5 (the weight) x 0.2 (20 basis point) - 30 x 0.25 x 0.2 = 3 - 1.5 = 1.5 This calculation is just the first order difference and does not take into account convexity. Try for example 1000/(1+6%)^30 divided by 1000/(1+6.2%) - 1 you get 0.058 (difference in a 30y z bond after a shift of 20bps in the 30y interest rate). Multiply then by 25%, you get 1.45%