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秋孜 · 2019年10月25日

问一道题：NO.PZ2018062006000081 [ CFA I ]

  1. CFA I
  2. Fixed Income

50bps, 表示0.005,基点对应的百分比是0.5%,表示的是一个千分位？视频里老说头寸，对头寸的理解很模糊，头寸是指最大的收益？第一笔首付？第一笔收益？问题如下图：

选项：

A.

B.

C.

解释：

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1 个答案

吴昊_品职助教 · 2019年10月26日

1bp(一个基点)，就是万分之一。所以50bp=0.5%=0.005.

固收中没有头寸的使用，这道题中也没有涉及到头寸的概念。头寸就是position，持有金融产品的一个情况。

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NO.PZ2018062006000081 问题如下 There is a two-yeFRN with quotemargin 50 basis points anthe referenrate is 6-month MRR. The current 6-month MRR is 1.2% whiis supposeto constant for the following 2 years anthe floater is price95 per 100 of pvalue. Please calculate the scount margin for the floater assuming a 30/360 y-count convention anevenly spaceperio. A.298 bps B.314 bps C.217 bps B is correct.First we neeto calculate the interest payment eaperio{(6-month MRR+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85then calculate the scount rate per perio:95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}95=1+r0.85​+(1+r)20.85​+(1+r)30.85​+(1+r)40.85+100​r=2.168%Now, solve for :1.2%+2=2.168%\frac{1.2\%+}2=2.168\%21.2%+​=2.168% = 3.14%考点浮动利率债券解析知道浮动利率债券当前的债券价格和分子的Coupon rate，先反求出折现率，利用计算器PV= -95，FV=100，PMT=0.85，N=4，得到I/Y=2.168再利用折现率反求出scount margin2.168%=(1.2%+)/2，求得=3.14%，故B正确。 您好，可以问一下solve for 的这个公式是在哪个知识点么？为什么要这么算呀而且算出来的2.168不用乘2么？

2023-08-16 21:03 1 · 回答

NO.PZ2018062006000081 问题如下 There is a two-yeFRN with quotemargin 50 basis points anthe referenrate is 6-month MRR. The current 6-month MRR is 1.2% whiis supposeto constant for the following 2 years anthe floater is price95 per 100 of pvalue. Please calculate the scount margin for the floater assuming a 30/360 y-count convention anevenly spaceperio. A.298 bps B.314 bps C.217 bps B is correct.First we neeto calculate the interest payment eaperio{(6-month MRR+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85then calculate the scount rate per perio:95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}95=1+r0.85​+(1+r)20.85​+(1+r)30.85​+(1+r)40.85+100​r=2.168%Now, solve for :1.2%+2=2.168%\frac{1.2\%+}2=2.168\%21.2%+​=2.168% = 3.14%考点浮动利率债券解析知道浮动利率债券当前的债券价格和分子的Coupon rate，先反求出折现率，利用计算器PV= -95，FV=100，PMT=0.85，N=4，得到I/Y=2.168再利用折现率反求出scount margin2.168%=(1.2%+)/2，求得=3.14%，故B正确。 题目中的6-month MRR、quotemargin、scount margin，都是年化的利率吗？我理解的语境是6个月的利率。

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