MCQ Quiz

Question 1 of 21

If portfolio weights are USD 0.40$ and USD 0.60$, and convexities are USD 9.752$ and USD 81.701$, what is weighted-average convexity?

45.727
52.921
57.727

Question 2 of 21

If $\mathrm{ApproxCon} = \dfrac{PV_- + PV_+ - 2PV_0}{(\Delta \mathrm{Yield})^2 \times PV_0}$, which rearrangement for the numerator is correct?

$PV_- + PV_+ - 2PV_0 = \mathrm{ApproxCon} \times (\Delta \mathrm{Yield})^2 \times PV_0$
$PV_- + PV_+ - 2PV_0 = \dfrac{\mathrm{ApproxCon}}{(\Delta \mathrm{Yield})^2 \times PV_0}$
$PV_- + PV_+ - 2PV_0 = \mathrm{ApproxCon} \times \Delta \mathrm{Yield} \times PV_0$

Question 3 of 21

If $\mathrm{AnnModDur} = 8.376$, $\mathrm{AnnConvexity} = 81.701$, and $\Delta \mathrm{Yield} = -0.01$, what is the estimated percentage price change?

7.9675%
8.7857%
8.0110%

Question 4 of 21

If portfolio weights are USD 0.40$ and USD 0.60$, and modified durations are USD 2.858$ and USD 8.376$, what is weighted-average modified duration?

5.617
6.169
6.617

Question 5 of 21

Which rearrangement is correct if $\mathrm{MoneyCon} = \mathrm{AnnConvexity} \times PV_{Full}$ and you solve for $PV_{Full}$?

$PV_{Full} = \dfrac{\mathrm{MoneyCon}}{\mathrm{AnnConvexity}}$
$PV_{Full} = \mathrm{MoneyCon} \times \mathrm{AnnConvexity}$
$PV_{Full} = \dfrac{\mathrm{AnnConvexity}}{\mathrm{MoneyCon}}$

Question 6 of 21

If $\mathrm{AnnConvexity} = 81.701$ and $\Delta \mathrm{Yield} = -0.01$, what is the convexity adjustment term $\tfrac{1}{2} \times \mathrm{AnnConvexity} \times (\Delta \mathrm{Yield})^2$?

0.00408505
-0.00817010
0.81701000

Question 7 of 21

In the convexity-adjusted percentage price formula, which term is the convexity adjustment?

$-\mathrm{AnnModDur} \times \Delta \mathrm{Yield}$
$\tfrac{1}{2} \times \mathrm{AnnConvexity} \times (\Delta \mathrm{Yield})^2$
$\mathrm{AnnConvexity} \times \Delta \mathrm{Yield}$

Question 8 of 21

If $\mathrm{AnnConvexity} = 81.701$ and $PV_{Full} = \text{GBP }50{,}000{,}000$, what is money convexity?

GBP 4,085,050
GBP 4,085,033,604
GBP 204,252

Question 9 of 21

If $\mathrm{MoneyDur} = \text{EUR }62{,}829{,}180$, $\mathrm{MoneyCon} = \text{EUR }449{,}647{,}660$, and $\Delta \mathrm{Yield} = -0.005$, what is the estimated change in full price?

EUR 308,525
EUR 319,767
EUR 449,648

Question 10 of 21

If $\mathrm{MoneyCon} = \text{EUR }449{,}647{,}660$ and $\Delta \mathrm{Yield} = -0.005$, what is $\tfrac{1}{2} \times \mathrm{MoneyCon} \times (\Delta \mathrm{Yield})^2$?

EUR 5,621
EUR 11,241
EUR 22,482

Question 11 of 21

If $\mathrm{MoneyCon} = \text{GBP }4{,}085{,}033{,}604$ and $\Delta \mathrm{Yield} = -0.01$, what is the money convexity adjustment?

GBP 408,503
GBP 204,252
GBP 4,085,034

Question 12 of 21

Which formula gives the convexity-adjusted change in full price in currency terms?

$\Delta PV_{Full} \approx -(\mathrm{MoneyDur} \times \Delta \mathrm{Yield}) + \left[\tfrac{1}{2} \times \mathrm{MoneyCon} \times (\Delta \mathrm{Yield})^2\right]$
$\Delta PV_{Full} \approx (\mathrm{MoneyDur} \times \Delta \mathrm{Yield}) + \left[\tfrac{1}{2} \times \mathrm{MoneyCon} \times \Delta \mathrm{Yield}\right]$
$\Delta PV_{Full} \approx -(\mathrm{MoneyDur} \times \Delta \mathrm{Yield}) + (\mathrm{MoneyCon} \times \Delta \mathrm{Yield})$

Question 13 of 21

Which formula approximates annualized convexity using $PV_-$, $PV_+$, and $PV_0$?

$\mathrm{ApproxCon} = \dfrac{PV_- + PV_+ - 2PV_0}{(\Delta \mathrm{Yield})^2 \times PV_0}$
$\mathrm{ApproxCon} = \dfrac{PV_- - PV_+}{2 \times \Delta \mathrm{Yield} \times PV_0}$
$\mathrm{ApproxCon} = \dfrac{PV_- + PV_+ - PV_0}{\Delta \mathrm{Yield} \times PV_0}$

Question 14 of 21

Which formula gives weighted-average convexity for a bond portfolio?

$\sum (w_i \times \mathrm{Convexity}_i)$
$\sum (w_i \times \mathrm{ModDur}_i)$
$\sum (\mathrm{Par\ Value}_i \times \mathrm{Convexity}_i)$

Question 15 of 21

Which formula defines money convexity?

$\mathrm{MoneyCon} = \mathrm{AnnConvexity} \times PV_{Full}$
$\mathrm{MoneyCon} = \mathrm{AnnModDur} \times PV_{Full}$
$\mathrm{MoneyCon} = \tfrac{1}{2} \times \mathrm{AnnConvexity} \times PV_{Full}$

Question 16 of 21

For the convexity formula from the CFA Curriculum, what happens to the sign of $(\Delta \mathrm{Yield})^2$ when yield change is negative?

It stays negative.
It becomes positive.
It becomes zero.

Question 17 of 21

If $\mathrm{MoneyCon} = \mathrm{AnnConvexity} \times PV_{Full}$, which rearrangement solves for annual convexity?

$\mathrm{AnnConvexity} = \dfrac{\mathrm{MoneyCon}}{PV_{Full}}$
$\mathrm{AnnConvexity} = \mathrm{MoneyCon} \times PV_{Full}$
$\mathrm{AnnConvexity} = \dfrac{PV_{Full}}{\mathrm{MoneyCon}}$

Question 18 of 21

Which formula gives weighted-average modified duration for a bond portfolio?

$\sum (w_i \times \mathrm{Convexity}_i)$
$\sum (w_i \times \mathrm{ModDur}_i)$
$\sum (\mathrm{Market\ Value}_i \times \mathrm{ModDur}_i)$

Question 19 of 21

If $\mathrm{ApproxCon} = 24.23896$, $PV_0 = 100.00$, and $\Delta \mathrm{Yield} = 0.0005$, what is $PV_- + PV_+ - 2PV_0$?

0.000605974
0.006059740
0.060597400

Question 20 of 21

If portfolio duration is USD 6.169$, portfolio convexity is USD 52.921$, and $\Delta \mathrm{Yield} = 0.005$, what is the estimated percentage price change?

-3.018%
-3.085%
-3.151%

Question 21 of 21

Which formula gives the convexity-adjusted percentage price change of a bond?

$%\Delta PV_{Full} \approx (-\mathrm{AnnModDur} \times \Delta \mathrm{Yield}) + \left[\tfrac{1}{2} \times \mathrm{AnnConvexity} \times (\Delta \mathrm{Yield})^2\right]$
$%\Delta PV_{Full} \approx (\mathrm{AnnModDur} \times \Delta \mathrm{Yield}) + \left[\mathrm{AnnConvexity} \times \Delta \mathrm{Yield}\right]$
$%\Delta PV_{Full} \approx (-\mathrm{AnnModDur} \times \Delta \mathrm{Yield}) + \left[\tfrac{1}{2} \times \mathrm{AnnConvexity} \times \Delta \mathrm{Yield}\right]$

Yeild Based Bond Convexity and Portfolio Properties (Katas)

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern

First Principles Thinking: formula pattern