NO.PZ2019070101000092
问题如下:
The table provides relevant information about four bonds in a portfolio, based on the table, the price value of a basis point for this portfolio is close to?
选项:
A.$65,341.15.
B.$77,518.65.
C.$73,124.38.
D.$72,647.90.
解释:
D is correct
考点:Bond Duration-DV01
解析:
首先:求组合的Effective duration
portfolio价格=sum(面值权重*价格)
=0.25×105+0.25×100+0.2×95+0.3×87
=96.35
易错点:要用权重×市值(也就是价格),千万不是权重×面值
portfolio effective duration=sum(面值权重*portfolio价格*effective duration)/portfolio的债券总价值
=(0.25×105×8+0.25×100×8.5+0.2×95×2+0.3×87×10.2)/96.36
=7.54
易错点:题目中的债券涉及含权,所以要用各自的effective duration来计算
其次:求the price value of a basis point
=portfolio effective duration*1bp*portfolio价格*1000000
=7.54 x 0.0001 x 96.35×1000000
= $72,647.9
求the price value of a basis point
=portfolio effective duration*1bp*portfolio价格*1000000
=7.54 x 0.0001 x 96.35×1000000
= $72,647.9
这里最后乘的1million其实是考虑了前面的96.35是吗?我的理解是四个组合的加总是100million,要乘以100m而不是1m。