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stevenxing · 2022年08月13日

这题为什么不是比较market value weighted duration？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct. In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

RT

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1 个答案

pzqa015 · 2022年08月14日

嗨，努力学习的PZer你好：


portfolio mac duration的准确计算公式是∑(PVCFi/PV)*t，其中，PV、PVCFi是用cash flow yield做折现率进行折现得到的，这种方法得到的portfolio mac duration的缺点是计算太繁琐，因此，实务中通常用weighted mac duration来作为portfolio duration的近似值。

考试中，如果已知portfolio mac duration，那么判断免疫条件时，必须用portfolio mac duration，如果没给portfolio mac duration，那么可以用weighted duration来作为portfolio mac duration的近似值来判断免疫条件。

所以，如果题目已知了portfolio mac duration，那么必须用它来判断，不能用weighted duration，只有在没有portfolio mac duration时，才可以用weighted duration


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