NO.PZ2022062755000007
问题如下：
A portfolio manager is mapping a fixed-income portfolio into exposures on selected risk factors. The manager
is analyzing the comparable mechanics and risk measurement outputs of principal mapping, duration
mapping, and cash-flow mapping. Which of the following is correct?
选项：
A.
Cash-flow mapping groups cash flows into buckets based on their size.
B.
Cash-flow mapping uses the average rates in each risk group as a discount factor.
C.
Principal mapping incorporates correlations among zero-coupon bonds.
D.
Duration mapping replaces the portfolio with a zero-coupon bond with maturity equal to the duration of
the portfolio.
解释：
中文解析：
duration mapping是把组合mapping到期限相同的0息债券。
cash-flow mapping是考虑到了所有cash flow的现值，折现率使用0息债券的利率。
principle mapping是只考虑支付本金的时间。
D is correct. With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio.
A is incorrect. Cash-flow mapping considers the present values of the cash flows placed to correspond to the maturities for which volatilities are provided. So, in cash-flow mapping, cash flows are grouped into maturity brackets.
B is incorrect. Cash-flow mapping considers the present values of the cash flows and uses the appropriate zero-coupon rate as the discount factor.
C is incorrect. Principal mapping is a simple method that considers the timing of
redemption payments only. Correlations among zero-coupon bonds with different
maturities are considered in cash-flow mapping.
cash flow into buckets
