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Cooljas · 2024年03月04日

这题可以再详细解释下吗?

NO.PZ2023090501000087

问题如下:

An investment analyst is calculating the forward bucket 01 of a bond. The bond pays a 5% coupon annually, has a face value of CNY 100,000, and matures in 3 years. The analyst notes that the forward rate curve is flat at 3% (with all forward rates calculated for 1-year periods), and uses two forward buckets of 0-2 years and 2-3 years. What is the forward bucket 01 of the bond for the 2-3 year bucket, assuming an upward shift in interest rates?

选项:

A.

CNY 9.33

B.

CNY 19.11

C.

CNY 20.04

D.

CNY 27.98

解释:

Explanation

A is correct. The current value of the bond is:


When forward rates in the 2-3 year forward bucket are increased by 1 bp, the value of the bond becomes:


The forward bucket 01 is the difference between these values: 105,657.22 - 105,647.89 = CNY 9.33

B is incorrect. This incorrectly values the bond after the forward bucket shift as:


C is incorrect. This incorrectly values the bond after the forward bucket shift as:


D is incorrect. This incorrectly values the bond after the forward bucket shift as:


Section Valuation and Risk Models

Learning Objective Relate key rates, partial 01s, and forward-bucket 01s and calculate the forwardbucket 01 for a shift in rates in one or more buckets.

Reference Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 13. Modeling Non-Parallel Term Structure Shifts and Hedging.



1 个答案

pzqa27 · 2024年03月05日

嗨,努力学习的PZer你好:


这个题要我们算 forward bucket 01,并且是假设利率上升的情况下。 关于forward bucket 01的定义如下图,它在这个题里指的是2-3年的forward rate 区间发生上移并且其他区间不变的情况下,债券价格的变化是多少。

因此算法就很简单,算一下现在债券的价格,然后再算一下2-3年forward rate上升后的债券价格,两个结果做差就行。

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努力的时光都是限量版,加油!

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2024-07-21 17:58 1 · 回答

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