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Spencer · 2020年06月22日

问一道题:NO.PZ201701230200000307

* 问题详情,请 查看题干

问题如下:

7. Based on Exhibit 1, the results of Analysis 2 should show the yield on the five-year bond:

选项:

A.

decreasing by 0.8315%.

B.

decreasing by 0.0389%.

C.

increasing by 0.0389%.

解释:

C is correct.

Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a one standard deviation decrease in both the level factor and the curvature factor will lead to the yield on the five-year bond increasing by 0.0389%, calculated as follows:

Change in five-year bond yield = 0.4352% - 0.3963% = 0.0389%.

老师请问,是不是考到level, steepness, curvature三个factor时,只需要考虑有变动的factor, 余下没有变化的factor就无需考虑?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年06月23日

题目让我们根据的是analysis2:level一个标准差下降和curvature一个标准差下降带来的收益率变化,那就只要考虑level和curvature。

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NO.PZ201701230200000307 问题如下 7. Baseon Exhibit 1, the results of Analysis 2 shoulshow the yielon the five-yebon A.creasing 0.8315%. B.creasing 0.0389%. C.increasing 0.0389%. C is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a one stanrviation crease in both the level factor anthe curvature factor will leto the yielon the five-yebonincreasing 0.0389%, calculatefollows:Change in five-yebonyiel= 0.4352% - 0.3963% = 0.0389%. 这题做对了,但是这个mol不太熟悉,哪里的知识点?

2024-07-28 11:47 2 · 回答

NO.PZ201701230200000307 问题如下 7. Baseon Exhibit 1, the results of Analysis 2 shoulshow the yielon the five-yebon A.creasing 0.8315%. B.creasing 0.0389%. C.increasing 0.0389%. C is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a one stanrviation crease in both the level factor anthe curvature factor will leto the yielon the five-yebonincreasing 0.0389%, calculatefollows:Change in five-yebonyiel= 0.4352% - 0.3963% = 0.0389%. -(-1)×(-0.4352%)-(-1)×0.3963%=-0.0389%

2024-07-25 17:28 1 · 回答

NO.PZ201701230200000307 Statement 1 \"Equilibrium term structure mols are factor mols thuse the observemarket prices of a referenset of financiinstruments, assumeto correctly price to mol the market yielcurve.\" Statement 2 \"In contrast, arbitrage-free term structure mols seek to scrithe namiof the term structure using funmenteconomic variables thare assumeto affeinterest rates.\"

2022-02-05 19:44 1 · 回答

NO.PZ201701230200000307 老师,请问什么情况下需要考虑权重啊,计算价格变化的那个公式是考虑了权重后的加权平均数,为什么这道题不用加权呢? 谢谢老师啦!

2021-10-17 17:33 1 · 回答

NO.PZ201701230200000307 题干中表格level数值为负的,是one viation increase的数据;而算出来的结果为正的0.0389,所以应该是相反 变成crease?谢谢老师。

2021-10-03 02:34 1 · 回答