wuzx · 2022年03月24日
NO.PZ2020011303000227
问题如下：
A position is worth USD 1.5 million. A two-basis-point increase in all rates causes the value to decline by USD 1199.85 and a two-basis-point decrease in all rates cause the value to increase by USD 1200.15. Estimate the effective duration and effective convexity.
解释：
Effective duration is
0.5 ×(1,199.85 +1,200.15)/(1,500,000×0.0002)=4
Also:
so that effective convexity is 0.3/(1,500,000×0.00022)=5
老师麻烦写出详细计算步骤，这个是哪个公式的变形或者简化吗？
NO.PZ2020011303000227 问题如下 A position is worth US1.5 million. A two-basis-point increase in all rates causes the value to cline US1199.85 ana two-basis-point crease in all rates cause the value to increase US1200.15. Estimate the effective ration aneffective convexity. Effective ration is0.5 ×(1,199.85 +1,200.15)/(1,500,000×0.0002)=4Also: P++P－－2P= (P+－P)－(P－P－) = 1200.15－1199.85 = 0.3so theffective convexity is 0.3/(1,500,000×0.00022)=5 题目问有一个头寸价值US.5m，利率上升2bp，使得价值下降了US199.85，利率下降2bp，价值上升了1200.15，请计算effectiveration和effective convexity。effective ration=0.5*(V++ V-)/(V0*2bp)=0.5 ×(1,199.85+1,200.15)/(1,500,000×0.0002)=4P++P－－2P= (P+－P)－(P－P－) = 1200.15－1199.85 = 0.3effective convexity =0.3/(1,500,000×0.00022)=5
老师 the value to cline US1199.85中1199.85不应该理解为减少的量么？为什么V-直接可以取这个值？
为什么这题求有效久期，是分子是V+加上V-？
