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努力的KK · 2025年07月09日

不是很理解为什么价格看作101.43% 84.89%

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2016082402000016

问题如下：

Consider the following portfolio of bonds (par amounts are in millions of USD).

What is the value of the portfolio’s DV01 (dollar value of 1 basis point)?

选项：

A.

$8,019

B.

$8,294

C.

$8,584

D.

$8,813

解释：

ANSWER: C

求组合的DV01是多少？

First, the market value of each bond is obtained by multiplying the par amount by the ratio of the market price divided by 100. Next, this is multiplied by D* to get the dollar duration DD. Summing, this gives $85.841 million. We multiply by 1,000,000 to get dollar amounts and by 0.0001 to get the DV01, which gives $8,584.

解析：

为什么不是直接用101.43*3

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1 个答案

李坏_品职助教 · 2025年07月09日

嗨，努力学习的PZer你好：


101.43这个价格意思是，对于100美元面值的债券，价格是101.43美元。那么对于1美元面值的来说，价格就是1.0143美元。


现在这个债券的面值一共是3million，那么价格 = 3million * 1.0143 = 3.043million。

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努力的时光都是限量版，加油！

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NO.PZ2016082402000016 问题如下 Consir the following portfolio of bon (pamounts are in millions of US.Whis the value of the portfolio’s 01 (llvalue of 1 basis point)? A.$8,019 B.$8,294 C.$8,584 $8,813 ANSWER: C求组合的01是多少？First, the market value of eabonis obtainemultiplying the pamount the ratio of the market privi100. Next, this is multiplie to get the llration . Summing, this gives $85.841 million. We multiply 1,000,000 to get llamounts an0.0001 to get the 01, whigives $8,584. 解析 没懂麻烦详细解答

2025-04-08 20:43 1 · 回答

NO.PZ2016082402000016

2021-11-14 07:54 1 · 回答

老师您好，这道题可以用portfolio 的 总market value 乘以 加权平均的ration 来计算吗？之前有道练习题里好像是用的这种思路。如果不能用，麻烦老师帮我区分一下对于portfolio 何时用加权平均何时直接单独计算后相加？谢谢

2020-03-11 17:03 1 · 回答

$8,294 $8,584 $8,813 ANSWER: C First, the market value of eabonis obtainemultiplying the pamount the ratio of the market privi100. Next, this is multiplie to get the llration . Summing, this gives $85,841 million. We multiply 1,000,000 to get llamounts an0.0001 to get the 01, whigives $8,584. 如果这道题没有给出Pamount，按照01=BV*ration*0.0001，A就是101.43吗？

2020-03-10 01:02 1 · 回答