NO.PZ202112010200000102
问题如下：
The manager estimates that accelerated economic growth in Australia will increase the level of government yields-to-maturity by 50 bps.
Under this scenario, which of the three portfolios experiences the smallest decline in market value?
选项：
A.Bullet
portfolio
Barbell portfolio
Equally weighted portfolio
解释：
A is correct. The change in portfolio value due to a rise in Australian government rate levels may be calculated using Equation:
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the bullet portfolio declines by 2.093%, or -2.093% = (-4.241 × 0.005) + [0.5 × 22.1 × (0.0052)],
followed by a drop of
2.343% for the equally weighted portfolio, or
-2.343% = (-4.779 ×
0.005) + [0.5 × 37.4 × (0.0052)],
and a drop of 2.468%
for the barbell portfolio, or
-2.468% = (-5.049 × 0.005) + [0.5 × 45.05 × (0.0052)].
老师好，
利率变动对价格的影响不应该是%∆PV=-(ModDur × ΔYield)嘛
书上的这个%∆PVFull公式和上面这个公式考试中用哪个呢
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2]
谢谢老师
