duration

NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 ， 也就是减小ration ， Smith应该卖掉ration大的债券 ， 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million ， 同时购买相同金额的Bon1 。 ？

NO.PZ2018091701000077问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 ， 也就是减小ration ， Smith应该卖掉ration大的债券 ， 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million ， 同时购买相同金额的Bon1 。 卖出上限为什么是那两个值相减？

NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 ， 也就是减小ration ， Smith应该卖掉ration大的债券 ， 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million ， 同时购买相同金额的Bon1 。 因为range是45-55，那么BON最多不是可以都卖掉吗，假设有52.5，全卖掉也在range范围内，为什么减掉45，这代表什么含义呢，麻烦老师详细一下谢谢

Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct. 考点fixeincome exposure measures。 解析 ration是衡量利率风险的指标 。 为了降低利率风险 ， 也就是减小ration ， Smith应该卖掉ration大的债券 ， 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million ， 同时购买相同金额的Bon1 。 这个7.5计算，我完全没明白…………45%不是一个权重吗？为什么直接减