公式在教材哪页？

NO.PZ2016082402000006

问题如下：

A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?

选项：

USD -2,046,875

USD -2,187,500

USD -1,953,125

USD -1,906,250

解释：

ANSWER: C

The change in price is given by $\;\bigtriangleup P=-{\lbrack D\ast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbrack C\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times$ ${(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.$

用的2021年教材；没找到公式啊！公式在教材哪页？

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DD仔_品职助教 · 2021年09月09日

嗨，努力学习的PZer你好：

同学你好~

这个题应该是出现了归类错误，不应该归到financial products and markets，应该是归类到valuation and risk model这一门课下的练习。

具体的公式在valuation and risk model的基础班讲义第196页，如下图，考察的是利率变动对价格的影响大小，D=8y题目中给的英文eight，P=100m，deltay=25bp，C=150，带入数字即可。

同学其实研究我们的讲义就可以啦，不用再翻教材，因为我们的讲义已经包含了教材里所有的内容，并且FRM教材是从很多别的教材里抽出来的内容，经常会出现内容前后不一致的情况，那么我们的讲义已经针对这些内容做了调整，同学看起来会比直接看教材轻松一些呢~

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努力的时光都是限量版，加油！

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NO.PZ2016082402000006 问题如下 A portfolio manager ha bonposition worth US100 million. The position ha mofieration of eight years ana convexity of 150 years. Assume ththe term structure is flat. how mues the value of the position change if interest rates increase 25 basis points? US-2,046,875 US-2,187,500 US-1,953,125 US-1,906,250 ANSWER: CThe change in priis given △P=−[×P](△y)+12[C×P](△y)2=−(8×100)×\;\bigtriangleup P=-{\lbraast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbraC\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times△P=−[×P](△y)+21[C×P](△y)2=−(8×100)× (0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125.{(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.(0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125. The fomulshoulbe:△P=−[×P](△y)+1/2[C×CONVESITY ](△y)2,right?

2022-04-28 20:48 1 · 回答

NO.PZ2016082402000006 A portfolio manager ha bonposition worth US100 million. The position ha mofieration of eight years ana convexity of 150 years. Assume ththe term structure is flat. how mues the value of the position change if interest rates increase 25 basis points? US-2,046,875 US-2,187,500 US-1,953,125 US-1,906,250 ANSWER: C The change in priis given △P=−[×P](△y)+12[C×P](△y)2=−(8×100)×\;\bigtriangleup P=-{\lbraast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbraC\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times△P=−[×P](△y)+21[C×P](△y)2=−(8×100)× (0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125.{(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.(0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125. 请问求出来-1.953125之后，怎么得出来A

2022-02-25 13:55 2 · 回答

这道题为什么要强调term structure is flat, 如果不是会有什么影响吗，这个条件的作用我没能想到

2019-10-12 15:51 3 · 回答

不懂，这是哪个知识点

2019-08-03 14:13 2 · 回答

公式在教材哪页？

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