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保琰 · 2023年04月21日

为什么C选项是negative duration呀?麻烦老师再解释一下。

NO.PZ2022062761000023

问题如下:

A hedge fund manager wants to change the fund’s interest rate exposure by investing in fixed-income securities with negative duration. Which of the following positions should the fund manager take?

选项:

A.

A long position in a callable corporate bond

B.

A long position in a puttable corporate bond

C.

An interest rate swap paying fixed and receiving LIBOR plus a spread

D.

An interest rate swap paying LIBOR plus a spread and receiving fixed

解释:

中文解析:

为了通过持有负久期头寸来改变利率敞口,经理需要投资于随着利率下降而价值下降(并且随着利率上升而价值上升)的证券。支付固定利率和接收 LIBOR 加上利差的利率掉期将随着利率上升而增加,因此 C 是正确的。尽管与其他相同的无期权债券相比,可赎回债券的赎回特征降低了债券的久期,但债券的总久期仍然为正。可回售债券的看跌特征也是如此。

In order to change the interest rate exposure by taking a position with negative duration, the manager will need to invest in securities that decrease in value as interest rates fall (and increase in value as interest rates rise). An interest rate swap paying fixed and receiving LIBOR plus a spread will increase in value as interest rates rise, therefore C is correct. Although the call feature of a callable bond decreases the bond’s duration in comparison to an otherwise identical option-free bond, the overall duration of the bond remains positive. The same is true of the put feature of a puttable bond.

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品职答疑小助手雍 · 2023年04月21日

同学你好,基础定义:普通固定利率债券的duration为正且随债券期限延长而延长,浮动利率债券的duration等于到下一个付息日的期限(较固定利率债券来说就很短了)。

C选项所述swap相当于short 固定利率bond,long浮动利率bond。long短的duration,short长的duration,所以相当于负的duration。

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NO.PZ2022062761000023问题如下 A hee funmanager wants to change the funs interest rate exposure investing in fixeincome securities with negative ration. Whiof the following positions shoulthe funmanager take? A.A long position in a callable corporate bonB.A long position in a puttable corporate bon.interest rate swpaying fixeanreceiving LIBOR plus a sprea.interest rate swpaying LIBOR plus a spreanreceiving fixe 中文解析为了通过持有负久期头寸来改变利率敞口,经理需要投资于随着利率下降而价值下降(并且随着利率上升而价值上升)的证券。支付固定利率和接收 LIBOR 加上利差的利率掉期将随着利率上升而增加,因此 C 是正确的。尽管与其他相同的无期权债券相比,可赎回债券的赎回特征降低了债券的久期,但债券的总久期仍然为正。可回售债券的看跌特征也是如此。In orr to change the interest rate exposure taking a position with negative ration, the manager will neeto invest in securities thcrease in value interest rates fall (anincrease in value interest rates rise). interest rate swpaying fixeanreceiving LIBOR plus a sprewill increase in value interest rates rise, therefore C is correct. Although the call feature of a callable boncreases the bons ration in comparison to otherwise inticoption-free bon the overall ration of the bonremains positive. The same is true of the put feature of a puttable bon 第一,是因为前面符号的关系,所以负久期就是价格变动随着收益率增加而增加吗?第二,支付固定利息,接收浮动利息,所以利率下降时,接收的少,swap价值减少,即这个swap就是负久期,这么理解可以吗?第三,为什么可赎回债券和可卖出债券不是负久期。

2023-05-10 10:50 1 · 回答