NO.PZ2022123002000041
问题如下：
A European bond portfolio manager wants to increase
the modified duration of his €30 million portfolio
from 3 to 5. She would most likely enter a receive-fixed interest rate swap
that has principal notional of €20 million and:
选项：
A.a modified duration
of 2
a modified duration
of 3
a modified duration
of 4
解释：
Correct Answer: B
B is correct. The portfolio manager’s goal is to use the
receive-fixed, pay-floating swap such that the €30 million of bonds, with
modified duration of 3, and the €20 million swap will combine to make up a
portfolio with a market value of €30 million and modified duration of 5. This
relationship can be expressed as follows:
Given the swap’s notional (NS ) of €20,000,000,
its required modified duration can be obtained as:
