NO.PZ2016082402000015
问题如下:
A bond portfolio has the following composition:
Portfolio A: price $90,000, modified duration 2.5, long position in 8 bonds
Portfolio B: price $110,000, modified duration 3, short position in 6 bonds
Portfolio C: price $120,000, modified duration 3.3, long position in 12 bonds
All interest rates are 10%. If the rates rise by 25 basis points, then the bond portfolio value will decrease by
选项: $11,430
$21,330
C.$12,573
D.$23,463
解释:
ANSWER: A
The portfolio dollar duration is .The change in portfolio value is then
解析:
组合A:价格=90k,MD=2.5,long了8个债券
组合B:价格=110k,MD=3,short了6个债券
组合C:价格=120k,MD=3.3,long了12个债券
所有的利率是10%,如果利率上升25bp,这个债券组合的价值会下降多少?
组合的dollar duration=+8×2.5×$90k−6×3×$110k+12×3.3×$120k=$4,572k
价值会下降=$4,572k*25bp= -11,430