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jojo · 2025年04月09日

最后乘以的portfolio value

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。

1 个答案

李坏_品职助教 · 2025年04月09日

嗨,爱思考的PZer你好:


对,96.35这个指的是100美元面值对应的价格是96.35美元,但现在组合的面值是100million。


所以应该用96.35/100 * 100million = 96.35 * 1000000

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