必过1030_ · 2020年10月26日
问题如下：
A bond portfolio manager wants to reduce the duration from 5.5 to 4.5 by 3-year interest rate swap with quarterly payments, the market value of portfolio is $10,000,000. The modified duration of the payer swap is -2.125. The notional principle of swap is closest to:
选项：
A.$4,931,864
B.$4,705,882
C.$3,515,235
解释：
B is correct.
考点：用interest rate swap 改变duration
解析：
此题需要降低duration，因此应该进入payer swap，
NP=(4.5-5.5)*10,000,000/(-2.125)=$4,705,882
固定端的duration为什么是2.25？
NO.PZ2018113001000047问题如下 A bonportfolio manager wants to rethe ration from 5.5 to 4.5 3-yeinterest rate swwith quarterly payments, the market value of portfolio is $10,000,000. The mofieration of the payer swis -2.125. The notionprinciple of swis closest to: $4,931,864 $4,705,882 $3,515,235 B is correct. 考点用interest rate sw改变ration 解析 此题需要降低ration，因此应该进入payer swap，NP=(4.5-5.5)*10,000,000/(-2.125)=$4,705,882 浮动端的是不是就是二分之一的reset perio就是八分之一，然后两者相减
NO.PZ2018113001000047 问题如下 A bonportfolio manager wants to rethe ration from 5.5 to 4.5 3-yeinterest rate swwith quarterly payments, the market value of portfolio is $10,000,000. The mofieration of the payer swis -2.125. The notionprinciple of swis closest to: $4,931,864 $4,705,882 $3,515,235 B is correct. 考点用interest rate sw改变ration 解析 此题需要降低ration，因此应该进入payer swap，NP=(4.5-5.5)*10,000,000/(-2.125)=$4,705,882 不是很明白，请老师指点，谢谢。
$4,705,882 $3,515,235 B is correct. 考点用interest rate sw改变ration 解析 此题需要降低ration，因此应该进入payer swap，它的ration=浮动端ration-固定端ration 固定端的ration=2.25 浮动端的ration=1/2*1/4=0.125 Payer swap的ration=0.125-2.25=-2.125 NP=(4.5-5.5)*10,000,000/(-2.125)=$4,705,882 您好请问这个浮动端的ration 是怎么算出来的？基础班讲义142页的例题为什么不用算这一步啊？谢谢您
老师，浮动端的ration=1/2*1/4=0.125,为什么乘以0.5？
