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西红柿面 · 2023年05月26日

简便算法

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000118

问题如下：

A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:

The effective duration of the pension fund’s liabilities is closest to:

选项：

A.

1.49.

B.

14.99.

C.

29.97.

解释：

B is correct.

The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:

EffDur=(PV−)−(PV+)2×(ΔCurve)×(PV0)EffDur=\frac{(PV-)-(PV+)}{2\times(\Delta Curve)\times(PV0)}

PV0= 455.4, PV+= 373.6, PV-= 510.1, and ΔCurve = 0.0100

EffDur=510.1−373.62×0.0100×455.4=14.99EffDur=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99

考点：effective duration

解析：需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得：PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective duration为14.99，故选项B正确。

我看之前有一道题就是只计算向上+1个bp计算出P+然后和P0做差直接算出来结果，那这道题可以用同样的方法计算吗？

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吴昊_品职助教 · 2023年05月26日

嗨，努力学习的PZer你好：


这是不可以的，那个方法只针对与PVBP有效。因为PVBP的定义是利率变动1个bp，带来的价格变化。所以可以用原始价格和利率上升1个bp的价格作差，得到PVBP。

本题计算的是有效久期，只能用这个公式来计算。

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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.PZ2016031001000118问题如下A Canapension funmanager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager termines the present value of the liabilities unr three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, ana 100 basis point op in rates wn to 6%. The results of the manager’s analysis are presentebelow:The effective ration of the pension funs liabilities is closest to:A.1.49.B.14.99.C.29.97. B is correct.The effective ration of the pension funs liabilities is closest to 14.99. The effective ration is calculatefollows:Effr=(PV−)−(PV+)2×(ΔCurve)×(PV0)Effr=\frac{(PV-)-(PV+)}{2\times(\lta Curve)\times(PV0)}Effr=2×(ΔCurve)×(PV0)(PV−)−(PV+)​PV0= 455.4, PV+= 373.6, PV-= 510.1, anΔCurve = 0.0100Effr=510.1−373.62×0.0100×455.4=14.99Effr=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99Effr=2×0.0100×455.4510.1−373.6​=14.99考点effective ration解析需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective ration为14.99，故B正确。 请翻译题目中对应curve变动率为0.01的句子

2022-12-03 16:54 1 · 回答

为什么ΔCurve = 0.0100？分母还要乘以2？

2020-01-14 14:16 1 · 回答

effective ration指的是啥呢？？？？？

2019-08-21 19:25 1 · 回答