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nicole 麦子🌳 · 2025年06月30日

P1和P2的duration不应该一样，但计算出来却一样

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000062

问题如下：

Given the following bond portfolios:

Which of the following statements is correct?

选项：

A.

Portfolio 1 is a barbell portfolio.

B.

Portfolio 2 is a bullet portfolio.

C.

It is impossible for Portfolios 1 and 2 to have the same duration.

D.

Portfolio 2 will have greater convexity than Portfolio 1.

解释：

D is correct.

考点 ： Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析 ： Since Portfolio 2 has more long-term bonds than short-term bonds and since convexity is related to the square of maturity, Portfolio 2 will have greater convexity. The other statements are incorrect. Portfolio 1 is a bullet portfolio (concentrated in intermediate maturities), and Portfolio 2 is a barbell. It is possible for a bullet and a barbell to have the same duration. In fact, adding the duration contribution of both portfolios gives a duration value of 8.15.

如题，请问这是什么原因？那要选一样吗？如果不能选，如何解释事实上算出来一样的数值呢

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1 个答案

李坏_品职助教 · 2025年06月30日

嗨，努力学习的PZer你好：


这两个资产组合的duration的确就是一样的。 C选项说的是P1和P2 不可能有一样的久期，所以C错误，不选C。


这道题正确的选项只有D。因为P2 是典型的barbell组合，分散到短期和长期债券，现金流越分散的组合，convexity越大，所以D正确。

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努力的时光都是限量版，加油！

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