问题

NO.PZ202403051000000403 问题如下 Baseon Exhibit 1, the priper 100 pof Company A Cs is closest to: A.95.70. B.99.06. C.104.29. A is correct. Up-front premium = (Cret spre– Fixecoupon) × C ration = (1.94 – 1.0) × 4.57 = 4.2958. Priof C per 100 p= 100 – Up-front premium = 100 – 4.2958 = 95.7042. B is incorrect. It is incorrectly calculatefollows: Up-front premium = (Cret spre– Fixecoupon) = (1.94 – 1.0) = 0.94. Priof C per 100 p= 100 – Up-front premium = 100 – 0.94 = 99.06. C is incorrect. It is incorrectly calculatefollows: Up-front premium = (Fixecoupon – Cret sprea × C ration = (1.0 – 1.94) × 4.57 = –4.2958. Priof C per 100 p= 100 – Up-front premium = 100 – (–4.2958) = 104.2958. “Consir a portfolio of zero-coupon bon thmature fferent times in the future. Changes in interest rates are not always parallel across maturities, so let’s analyze whhappens rates change across the yielcurve. Let’s assume ththe portfolio hsensitivities to factors proviin Exhibit 3. The portfolio hequweightings in eakey rate ration aneffective ration of 4.7. I woullike you to assess the impaon the return of the portfolio if rates rise evenly across the curve analso when the curve flattens but es not twist.”Assuming rates change scribeAkron anbaseon Exhibit 3, the impaon the portfolio outlinein Mole 6 woulmost likely a loss in value from changes in:level ana gain from changes in steepness.level ana loss from changes in steepness.steepness ana gain from changes in curvature.SolutionIncorrebecause the portfolio woullose from steepness.Correct. A parallel shift of the yielcurve woulresult in a loss across eakey rate ration given a sensitivity of 1. For example, a 100 basis point (bp) parallel shift woulgenerate approximately 4.7% loss in value. A flattening of the yielcurve in the long enwoulresult in a loss given a sensitivity of –1. For example, a 100 cline in the 30-yekey rate ration woulresult in a loss of approximately 2.9% (–100 × –1 × –8.7 × 0.333). There is no impafrom curvature, sinthe curve not “twist.”老师这道题是什么意思，分析下