NO.PZ2020011303000069
问题如下:
A portfolio depends on a 3.5-year, risk-free rate interest rate and no other rates or risk factors. It is calculated that the portfolio will increase in value by USD 500 for each one-basis-point increase in the rate. The rates that are modeled are the three month, six-month, one-year, two-year, three-year, five-year, ten-year, and thirty year
解释:
The portfolio has a delta with respect to the 3- and 5-year rates and no other rates. When the 3-year rate changes by one basis point, the 3.5-year rate changes by 0.75 basis points. When the 5-year rate changes by one basis point, the 3.5-year rate changes by 0.25 basis points. The deltas with respect the 3- and 5-year rates are therefore USD 375 and USD 125, respectively.
能理解三年和五年的影响,意思是这个影响是线性的嘛,但是375和125都是啥