NO.PZ201812020100000705
问题如下：
Based on Exhibit 2, the amount that Hirji should allocate to the 2-year bond position is closest to:
选项：
A. C$331 million.
B. C$615 million.
C. C$1,492 million
解释：
C is correct.
In order to take duration-neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. This condor structure has the following positions: long the 2-year bonds, short the 5-year bonds, short the 10-year bonds, and long the long-term bonds. Hirji’s allocation to the 2-year bond position is calculated as follows: The C$150 million long-term bonds have a money duration of C$150 × 1,960 = C$294,000
Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond
2-year bond position = C$294,000/197 = 1,492.39 or C$1,492 million
我看了你们的回答是 money d = mv 乘以 modified d 那为什么答案里用pvbp？这个1bp的区别要紧吗？modified duration和pvbp是什么公式啊？谢谢