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bzs728 · 2025年04月27日

B和D的区别

NO.PZ2020011303000235

问题如下:

How is the par yield KR01 measure for a portfolio converted into a duration measure?

选项:

A.

It is divided by 10,000 and multiplied by the value of the portfolio.

B.

It is multiplied by 10,000 and divided by the value of the portfolio.

C.

It is multiplied by the value of the portfolio and divided by 10,000.

D.

It is divided by the value of the portfolio and multiplied by 10,000.

解释:

It is multiplied by 10,000 and divided by the value of the portfolio.

题目问:如何将一个组合的par yield KR01 measure转化为duration measure

10,000之后除以组合的value

选项B和D有什么区别?

1 个答案

李坏_品职助教 · 2025年04月27日

嗨,从没放弃的小努力你好:


B: KR01 * 10000 / value of portfolio = duration。

C:KR01 * value of portfolio / 10000= duration。


假设KR 01 = 1,value = 100, 按照B求出来duration = 100.

按照C求出来duration = 0.01.

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