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kevinzhu · 2022年05月12日

解析过程不理解

  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

[0.5*(100+100)+5.25]/1.071432=98.23

[0.5*(100+100)+5.25]/1.058737=99.41

[0.5*(100+100)+4.8342]/1.048342=100

[0.5*(98.23+99.41)+5.25]/1.053363=98.80

[0.5*(99.41+100)+4.3943]/1.043943=99.71

PV0=[0.5*(98.80+99.71)+3.8395]/1.038395=99.28

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1 个答案

pzqa015 · 2022年05月14日

嗨，爱思考的PZer你好：


这道题让计算AI的ED

ED=（V--V+）/2V0△y


根据表2上面的二叉树，每个点加上13.95bp，可以得到V-=100.78

根据表2下面的二叉树，每个点加上13.95bp，可以得到V+=99.487

V0=100.2，△y=30bp


带入ED的公式中得到ED=2.15

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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