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Captain America · 2022年10月16日

请问Curve是怎么来的？

  1. CFA I
  2. Fixed Income

NO.PZ2018062006000118

问题如下：

Peter is a pension fund manager who wants to measure the sensitivity of his pension liabilities to market interest rate changes. Assuming that the base rate is 9%, a 100 basis point increase in rates up to 10%, and a 100 basis point drop in rates down to 8%. The related data is presented as following:

The effective duration of the pension fund's liabilities is:

选项：

A.

1.93.

B.

19.31.

C.

28.65.

解释：

B is correct.

PV0= 357.5, PV+= 298.1, PV-= 436.2, and ΔCurve = 0.0100

EffDur=436.2−298.12×0.0100×357.5=19.31EffDur=\frac{436.2-298.1}{2\times0.0100\times357.5}=19.31

The effective duration of the pension fund's liabilities is 19.31.

考点：effective duration

解析：需分别求出，由于利率下降100 bps的债券价格V-，和由于利率上升100 bps的债券价格V+。故而求得：PV+= 298.1, PV- = 436.2，后代入上述公式即可得到effective duration为19.31，故选项B正确。

请问▶️Curve是怎么来的？

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吴昊_品职助教 · 2022年10月17日

嗨，努力学习的PZer你好：


a 100 basis point increase in rates up to 10%, and a 100 basis point drop in rates down to 8%.

这句话的意思就是利率上升100个bp至10%，利率下降100bp至8%。

因此，△curve=100bps=1%=0.01

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2018062006000118 问题如下 Peter is a pension funmanager who wants to measure the sensitivity of his pension liabilities to market interest rate changes. Assuming ththe base rate is 9%, a 100 basis point increase in rates up to 10%, ana 100 basis point op in rates wn to 8%. The relateta is presentefollowing:The effective ration of the pension funs liabilities is: A.1.93. B.19.31. C.28.65. B is correct.PV0= 357.5, PV+= 298.1, PV-= 436.2, anΔCurve = 0.0100Effr=436.2−298.12×0.0100×357.5=19.31Effr=\frac{436.2-298.1}{2\times0.0100\times357.5}=19.31Effr=2×0.0100×357.5436.2−298.1​=19.31The effective ration of the pension funs liabilities is 19.31.考点effective ration解析需分别求出，由于利率下降100 bps的债券价格V-，和由于利率上升100 bps的债券价格V+。故而求得PV+= 298.1, PV- = 436.2，后代入上述公式即可得到effective ration为19.31，故B正确。 请问像这种情况Y的改变永远是0.01吗

2023-04-28 04:27 1 · 回答

    老师，这道题我按了两遍计算器，答案算出来都是18.379，发现没有正确答案，就选了个最相近的，还对了。能不能麻烦老师帮忙确认下？

2018-09-17 22:31 1 · 回答