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luojy · 2024年05月16日

Macaulay Duration(asset)=liability duration的意思进一步明确

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct. In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

老师，这题我想明确下，

single liability immunizatio需要满足3个条件：

①MV（asset)≥MV(liability)

②Macaulay Duration(asset)=liability duration

③min. asset convexity


其中，第②点Macaulay Duration(asset)=liability duration的意思是说 asset macaulay duration和liability duration接近？还是说 asset的macaulay duration一定要大于liability duration?

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2 个答案

pzqa31 · 2024年05月18日

嗨，努力学习的PZer你好：


是的，是这样的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2024年05月16日

嗨，爱思考的PZer你好：


等于，一般实务中基本很难精确等于，所以咱们在题目中出现的情况多是近似等于。

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努力的时光都是限量版，加油！

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