灰飞翔的猫 · 2025年02月01日
NO.PZ2023120801000073
问题如下：
A portfolio manager is assessing the interest rate risk of threebonds as she considers making an investment of USD50 million. All three bondsare issued on 1 June 2026 and mature on 1 June 2030, and they have thefollowing characteristics:
The modifiedduration for Bond Two is closest to:
选项：
A.
3.59
B.
3.65
C.
3.78
解释：
Correct Answer: B
真实考试中会出现这种大运算量的题目不？感觉两分钟搞不定？有没有什么其他简算方法？
NO.PZ2023120801000073 问题如下 A portfolio manager is assessing the interest rate risk of threebon she consirs making investment of US0 million. All three bonare issueon 1 June 2026 anmature on 1 June 2030, anthey have thefollowing characteristics:The mofieuration for BonTwo is closest to: A.3.59 B.3.65 C.3.78 CorreAnswer: time to receipt for semiannupayemnent: 在求ration covexity 的时候time to receipt= 12...n 整数 而不是 0.2 1 1.5...n/2?也因为time to receipt 是整数 annualizeration 要 除2 covexity 要除以4？
NO.PZ2023120801000073 问题如下 A portfolio manager is assessing the interest rate risk of threebon she consirs making investment of US0 million. All three bonare issueon 1 June 2026 anmature on 1 June 2030, anthey have thefollowing characteristics:The mofieuration for BonTwo is closest to: A.3.59 B.3.65 C.3.78 CorreAnswer: cash flow 为什么都是1.5？
