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比如世界 · 2020年03月10日

问一道题：NO.PZ2020011303000219

  1. FRM I
  2. Valuation And Risk Models

问题如下：

Consider a zero-coupon bond with a face value of USD 100 and a maturity of ten years. What is the DV01 and the effective duration when the ten-year rate is 4% with semi-annual compounding? (Consider one-basis-point changes and measure rates as decimals when calculating duration.)

选项：

解释：

The value of the bond is

100/1.0220=67.297133

When the ten-year rate increases to 4.01%, the value decreases by 0.065944 to 67.231190. When the ten-year rate decreases to 3.99%, the value increases by 0.066012 to 67.363145. The DV01 can be estimated as the average of 0.065944 and 0.066012, or 0.065978. The effective duration is 0.065978/(67.297133×0.0001)=9.804

老师您好，dv01的计算可以只通过decrease或increase 1%的rate来计算吗？还是只能向答案中写的计算上升和下降的平均值？谢谢

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2 个答案

品职答疑小助手雍 · 2021年09月06日

既然是DV01，那就是X变化0.01%对应的债券价格变化，增减分别算0.01%，然后再平均就可以了。

你要是算上下0.005%，再直接把变化值累加起来，算的其实是X-0.005%到X+0.005%产生的价格变化了，是单向的，不是平均值。

品职答疑小助手雍 · 2020年03月11日

同学你好，effective duration是需要考虑平均值的（毕竟公式就是用上下变化的均值），单侧计算会有偏差（因为有凸性的影响）

比如世界 · 2020年03月12日

老师，我问的是dv01

品职答疑小助手雍 · 2020年03月12日

dv01一般就根据duration来算了，这题因为前面问了effective duration，所以就跟着这个effective duration的思路来算dv01。这就要看题目给的环境适用哪种duration了。’

irene · 2021年09月06日

如果是用均值，为什么分母还要用0.01%？不是应该用0.5%了吗？

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NO.PZ2020011303000219 问题如下 Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the 01 anthe effective ration when the ten-yerate is 4% with semi-annucompounng? (Consir one-basis-point changes anmeasure rates cimals when calculating ration.) The value of the bonis100/1.0220=67.297133When the ten-yerate increases to 4.01%, the value creases 0.065944 to 67.231190. When the ten-yerate creases to 3.99%, the value increases 0.066012 to 67.363145. The 01 cestimatethe average of 0.065944 an0.066012, or 0.065978. The effective ration is 0.065978/(67.297133×0.0001)=9.804题目问一个零息债券的面值是100US期限是10年，当利率是4%，半年付息一次时，01和effective ration是多少？债券的价格V0=100/(1+4%/2)^(10*2)=67.297133当利率上升1bp到4.01%时，债券价格V+=100/(1+4.01%/2)^(10*2)=67.23119价格下降0.065944当利率下降1bp到3.99%时，债券价格V-=100/(1+3.99%/2)^(10*2)=67.36314价格上升0.06601201=（0.065944 +0.066012）/2= 0.065978 effectiveration=0.065978/(67.297133×0.0001)=9.804 N=20，I/Y=2, PMT=2, FV=100求PV，是这样吧？

2024-03-19 13:59 2 · 回答

NO.PZ2020011303000219问题如下Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the 01 anthe effective ration when the ten-yerate is 4% with semi-annucompounng? (Consir one-basis-point changes anmeasure rates cimals when calculating ration.) The value of the bonis100/1.0220=67.297133When the ten-yerate increases to 4.01%, the value creases 0.065944 to 67.231190. When the ten-yerate creases to 3.99%, the value increases 0.066012 to 67.363145. The 01 cestimatethe average of 0.065944 an0.066012, or 0.065978. The effective ration is 0.065978/(67.297133×0.0001)=9.804题目问一个零息债券的面值是100US期限是10年，当利率是4%，半年付息一次时，01和effective ration是多少？债券的价格V0=100/(1+4%/2)^(10*2)=67.297133当利率上升1bp到4.01%时，债券价格V+=100/(1+4.01%/2)^(10*2)=67.23119价格下降0.065944当利率下降1bp到3.99%时，债券价格V-=100/(1+3.99%/2)^(10*2)=67.36314价格上升0.06601201=（0.065944 +0.066012）= 0.065978effectiveration=0.065978/(67.297133×0.0001)=9.804 烦请写下计算步骤先谢谢。另外，零息债券久期不是到期日吗？根据57页另一个求01的公式不是同样可以求吗？当然两个结果绝对不相同。请问错误在哪里呢？

2023-03-29 17:45 2 · 回答

NO.PZ2020011303000219 问题如下 Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the 01 anthe effective ration when the ten-yerate is 4% with semi-annucompounng? (Consir one-basis-point changes anmeasure rates cimals when calculating ration.) The value of the bonis100/1.0220=67.297133When the ten-yerate increases to 4.01%, the value creases 0.065944 to 67.231190. When the ten-yerate creases to 3.99%, the value increases 0.066012 to 67.363145. The 01 cestimatethe average of 0.065944 an0.066012, or 0.065978. The effective ration is 0.065978/(67.297133×0.0001)=9.804 这个题的ration是10，为什么mofieration不能是10/1+y呢？

2022-07-02 11:00 2 · 回答