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Oliviabu · 2022年08月04日

basis point value

NO.PZ2018113001000076

问题如下:

Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US TreasuriesMatthew intends to decrease the portfolio’s modified duration to 3.00

Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.


Based on Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew should sell is closest to:

选项:

A.

440

B.

441

C.

398

解释:

A is correct

BPVT =MDurT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70

BPVHR=BPVTBPVPBPVCTD×CF=36,104.70111,924.57128.88×0.75=441,22<span>BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22

Matthew should sell 441 Treasury bond futures contracts.

中文解析:

本题考察的是利用期货合约调节组合的久期,直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数,负号代表卖出期货合约。

basis point value 具体是指什么意思 是不是以及或者二级学过 但是不记得了 可以麻烦发个简单的讲解么 感谢

4 个答案
已采纳答案

Hertz_品职助教 · 2022年08月04日

嗨,爱思考的PZer你好:


同学你好

BPV,全称basis point value,基点价值,又名DV01,PVBP,都是一个一个东西哈。

计算:PVBP=BPV=DV01=MDur×MV×1bp,

另外补充一点哈:

我们可以看到在管理利率风险的时候,有时候使用的是BPV的公式,有时候使用的是MDur的公式,其实本质都是一样的。只是数量级不同而已, MDur和MV 相乘得到美元久期的概念,而BPV或者PVBP只不过是美元久期乘了万分之一。

之所以教材中或者咱们教材中在求需要多少债券期货的时候使用的是BPV,是因为题干信息几乎是以BPV的形式给到的。但其实本质无差。推导如下:

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Oliviabu · 2022年08月05日

感谢感谢!

Hertz_品职助教 · 2022年10月20日

嗨,从没放弃的小努力你好:


@stuartyuan 同学你好

上面回复中提到了使用BPV也好,或者使用MDur也好,本质是一样的,二者的推倒在上面也展示了,如果使用MDur,用到的公式也写出来了,只是常使用BPV。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

stuartyuan · 2022年10月19日

想问一下这道题为啥不能直接用MD来算,而是要用BPV, 比如(3-9.3)/9 * 0.75

Hertz_品职助教 · 2022年08月05日

嗨,努力学习的PZer你好:


不客气哈 继续加油!

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努力的时光都是限量版,加油!

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NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries. Matthew inten to crease the portfolio’s mofieration to 3.00.Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期,直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数,负号代表卖出期货合约。 老师,您好!题中给出的128.88是债券期货的BPV吗?还是债券CTBPV?如果是债权期货的BPV,那么用债券期货调整债券组合的久期(或BPV)时,计算需要多少份期货合约的计算公式应该如下Nf = (BPV_T - BPV_P) / BPV_f,如果题目中的128.88是债券期货的合约,则代入计算得到(36104.7-111924.57) / 128.88 = -588.3。如果128.88是CT券的BPV, 则需要通过conversion factor转换计算对应债券期货的BPV_f = BPV_ct/ CF,那么计算需要多少份期货合约的计算公式应该如下Nf = (BPV_T - BPV_P) / (BPV_ct/ CF) = -441.22。题目中显然是把128.88当做CTBPV来处理的。但是128.88 = 143200 * 9 * 0.0001得到的,即应该是债券期货的BPV。那么到底该怎么理解呢?麻烦老师一下,谢谢!

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