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兔小兔 · 2022年01月25日

第一题 不用考虑这个么

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000401

问题如下：

Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:

选项：

A.

1.98.

B.

2.15.

C.

2.73.

解释：

B is correct.

The AI bond’s value if interest rates shift down by 30 bps (PV–) is 100.78. The AI bond’s value if interest rates shift up by 30 bps (PV+) is 99.487.

Effective duration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15

Bianchi determines that the AI bond is currently trading at an option-adjusted spread (OAS) of 13.95 bps relative to the benchmark yield curve.

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1 个答案

pzqa015 · 2022年01月25日

嗨，从没放弃的小努力你好：


不用哈

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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