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kevinzhu · 2022年05月15日

请帮忙找出我解答部分的问题

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000401

问题如下：

Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:

选项：

A.

1.98.

B.

2.15.

C.

2.73.

解释：

B is correct.

The AI bond’s value if interest rates shift down by 30 bps (PV–) is 100.78. The AI bond’s value if interest rates shift up by 30 bps (PV+) is 99.487.

Effective duration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15




每个点加上13.95bp，可以得到


[0.5*(100+100)+5.25]/1.071432=98.2330

[0.5*(100+100)+5.25]/1.058737=99.4109

[0.5*(100+100)+4.8342]/1.048342=100

[0.5*(98.233+99.4109)+5.25]/1.053363=98.7997

[0.5*(99.4109+100)+4.3943]/1.043943=99.7178

PV0=[0.5*(98.7997+99.7178)+3.8395]/1.038395=99.2862

计算结果与答案不同？


每个点加上13.95bp，可以得到

Year 0    Year 1     Year 2


4.4395%  6%     7.8827%

         4.9377%  6.4791%

                    5.3299% 


[0.5*(100+100)+5.25]/1.078827=97.5597

[0.5*(100+100)+5.25]/1.064791=98.8457

[0.5*(100+100)+5.3299]/1.053299=100

[0.5*(97.5597+98.8457)+5.25]/1.06=97.5969

[0.5*(98.8457+100)+4.9377]/1.049377=99.4500

PV0=[0.5*(97.5969+99.45)+4.4395]/1.044395=98.5862

计算结果与答案不同？


还有不shift的PV0如何计算？

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1 个答案

pzqa015 · 2022年05月17日

嗨，从没放弃的小努力你好：


不shift的PVO是题目已知的价格100.2

解析的过程不正确，正确的解题过程如下图

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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