单选题 The price value of a basis point (PVBP) for a 18 year, 8 percent annual pay bond with a par value of $1000 and yield of 9 percent is closest to:
  • A. $0.82.
  • B. $0.44.
  • C. $0.63.
【正确答案】 A
【答案解析】PVBP = initial price - price if yield changed by 1 bps.
Initial price:
Price with change:
FV=1000
FV=1000
PMT=80
PMT=80
N=18
N=18
I/Y =9%
I/Y =9.01
CPT PV=912.44375
CPT PV=911.6271
PVBP = 912.44375-911.6271=0.82( PVBP is always the absolute value. )