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506623496 · 2023年11月21日

为什么不能直接判断duration大小

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000105

问题如下：

An economic slowdown is expected to result in a 25 bp decline in Australian yield levels. Which portfolio alternative will experience the largest gain under this scenario?

选项：

A.

Bullet portfolio

B.

Barbell portfolio

C.

Equally weighted portfolio

解释：

B is correct. The portfolio value change due to lower Australian government

rate levels may be calculated using Equation 3:
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],
where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the barbell portfolio rises by 1.276%,

or (-5.049 × -0.0025) + [0.5 × 45.05 × (-0.00252)],

followed by the equally weighted portfolio at 1.207%, or

(-4.779 × -0.0025) + [0.5 × 37.4 × (-0.00252)],

and the bullet portfolio at 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 × (-0.00252)].

如题，如果平行移动都不能只用duration判断，那么duration再什么情况下才有意义？

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已采纳答案

pzqa015 · 2023年11月21日

嗨，爱思考的PZer你好：


duration是一阶导，适用于利率小幅度变动下对债券价格的影响；convexity是二阶导，适用于利率变动幅度大时对债券价格的影响，考虑conveixty后，利率对债券价格的影响更准确；

但究竟多少算是小幅变动，多少算是大幅变动，没有定量标准，所以，如果题目给了convexity信息，就要用到，如果没给，只用duartion就可以了。

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努力的时光都是限量版，加油！

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NO.PZ202112010200000105 问题如下 economic slowwn is expecteto result in a 25 cline inAustraliyiellevels. Whiportfolio alternative will experienthelargest gain unr this scenario? A.Bullet portfolio B.Barbell portfolio C.Equally weighteportfolio B is correct. Theportfolio value change e to lower Australigovernmentrate levels mbecalculateusing Equation 3:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the barbell portfolio rises 1.276%, or (-5.049 × -0.0025) + [0.5× 45.05 × (-0.00252)], followethe equallyweighteportfolio 1.207%, or (-4.779 × -0.0025) +[0.5 × 37.4 × (-0.00252)], anthe bulletportfolio 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 ×(-0.00252)]. 本题不能直接看谁的的ration大么？ration大的，yiel下降带来的price变动就越大

2022-12-19 14:44 2 · 回答

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