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凉茶325 · 2023年01月31日

min convexity

  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.

这道题说DFC负债的PV是500million，并没有已知portfolio 1-4的PV信息，所以，免疫的第一个条件用不上。

第二个条件是mac D=investment horizion，DFC的investment horizon为9年，所以，要选择portfolio mac D与9年最近的，B选项是最接近9的。

对于第一个条件，PV of asset≥PV of liability。为了节省成本，可以让PV of asset=PV of liability，但为了保证成功，最好让PV of asset＞PV of liability。


这个部分我理解了

1.single liability 不是需要min convexity 吗？那样应该选C啊？

2.是需要先满足D asset大于duration of liability的条件吗？才考虑convexity

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1 个答案

pzqa015 · 2023年02月01日

嗨，爱思考的PZer你好：


1.single liability 不是需要min convexity 吗？那样应该选C啊？

--

C 的mac duration是8，太小了，先排除了。


2.是需要先满足D asset大于duration of liability的条件吗？才考虑convexity

---

是的，前两个条件的优先级高于第三个条件（convexity）

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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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