小米 · 2021年05月05日
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NO.PZ201812020100000404
问题如下：
The two-bond hypothetical portfolio’s immunization goal is to lock in a rate of return equal to:
选项：
A.9.55%.
B.9.85%.
C.10.25%
解释：
B is correct.
Immunization is the process of structuring and managing a fixed-income portfolio to minimize the variance in the realized rate of return and to lock in the cash flow yield (internal rate of return) on the portfolio, which in this case is 9.85%.
为啥不能是YTM呢？
pzqa015 · 2021年05月05日
嗨，从没放弃的小努力你好：
portfolio的YTM是portfolio中各个债券YTM的加权平均，cash flow yield是portfolio的IRR，是按照现金流折现后的价格等于Portfolio的现在价格反推出来的一个折现率，二者是不相等的，相比于YTM，portfolio的cash flow yield更能反映portfolio价格受收益率曲线的影响，因此，我们要hegde int rate 发生变化时portfolio价格的变化，就应该hedge cash flow yield。
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ201812020100000404 问题如下 The two-bonhypotheticportfolio’s immunization gois to loin a rate of return equto: 9.55%. 9.85%. 10.25% B is correct. Immunization is the process of structuring anmanaging a fixeincome portfolio to minimize the varianin the realizerate of return anto loin the cash flow yield (internrate of return) on the portfolio, whiin this case is 9.85%. 老师，我能理解matcash flow yiel对的，但是，针对这题和前面有个题的结论有点混淆。1.之前有个题给了下面这样的结论macaulration衡量pririsk, investment risk衡量reinvestment riskwhen Macaulration=investment horizon, expectereturn=YTM2.那么这道题为什么不是matYTM, 而是matcash flow yiel好呢？这2点分别是什么情况下使用，感觉我好像使用两个结论的情景没有区分清楚。什么情况下应该matYTM？什么情况下又应该matcash flow yiel
NO.PZ201812020100000404问题如下 The two-bonhypotheticportfolio’s immunization gois to loin a rate of return equto:9.55%.9.85%.10.25% B is correct. Immunization is the process of structuring anmanaging a fixeincome portfolio to minimize the varianin the realizerate of return anto loin the cash flow yield (internrate of return) on the portfolio, whiin this case is 9.85%. 如果是单债，YTm是ok的对吗。这里用average YTM 这个表述错了，，是这么理解吗
NO.PZ201812020100000404问题如下 The two-bonhypotheticportfolio’s immunization gois to loin a rate of return equto:9.55%.9.85%.10.25% B is correct. Immunization is the process of structuring anmanaging a fixeincome portfolio to minimize the varianin the realizerate of return anto loin the cash flow yield (internrate of return) on the portfolio, whiin this case is 9.85%. YTM不就是内部收益率吗？
9.85%. 10.25% B is correct. Immunization is the process of structuring anmanaging a fixeincome portfolio to minimize the varianin the realizerate of return anto loin the cash flow yiel(internrate of return) on the portfolio, whiin this case is 9.85%. 这道题，two bonportfolio是immunization的负债还是资产没看懂，是要用它来immunize 负债吗？如果是，不是应该用它来匹配liability的yiel？为什么是lock它自己的yiel能不能翻译一下这段话？
