30年利率要是升到7%, TLT会到多少?

counterspell · 发表于 2010-4-3 01:54 AM

10%呢?

yaobooyao · 发表于 2010-4-3 10:42 AM

你应该看TYX （CBOE 30 Years T-bond Index).

TLT 是20+ Years 的一个组合，与30年利率的相关性不容易估算。

H@T · 发表于 2010-4-3 01:33 PM

counterspell · 发表于 2010-4-4 07:23 PM

alright. how about TYX? what's the formular? sorry for the noob question.

counterspell · 发表于 2010-4-5 04:18 PM

OK, i was lazy. just did some quick back-of-envelop calculations and the result is astonishing: assuming average of TLT is 25yr and 4.5% today. if the rate doubles to 9%, the price will be (1.09/1.045)^25 = 2.87 times lower.
TLT today = 87.5
TLT @ (9% 25yr or ~ 10%30yr) = 87.5/2.87 = 30.

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[讨论] 30年利率要是升到7%, TLT会到多少?