"Fixed Income": Risk and Return
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Questions 1:
Which of the following most likely exhibits negative convexity?
A 、A callable bond
B 、An option-free bond
C、 A putable bond
Questions 2:
The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60, respectively. If yields increase by 200 bps, the percentage change of the price is closest to:
A、 –17.65%.
B 、–23.71%.
C、 –20.68%.
A is correct. A callable bond exhibits negative convexity at low yield levels and positive convexity at high yield levels.
B is incorrect because an option-free bond always exhibits positive convexity.
C is incorrect because a putable bond always exhibits positive convexity, higher than an option-free bond
A is correct. The percentage change in price is calculated as follows:
B is incorrect. It is calculated with negative convexity effect: –20.68% – 3.03% = –23.71%.
C is incorrect. It is calculated as the impact for duration effect only: –20.68%.
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