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徐威廉 · 2022年05月25日

1.82哪来的？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002901

问题如下：

Select the most appropriate credit portfolio positioning strategy to capitalize on an expected steepening of the investment-grade credit spread curve.

选项：

A.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using contracts of equal notional value.

B.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

解释：

C is correct. The investor benefits from a short risk (as protection buyer) on the 10-year CDX IG index and long risk (as protection seller) on the 5-year CDX IG index, duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

头寸方向没有问题，1.82哪来的？什么意思？

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已采纳答案

lynn_品职助教 · 2022年05月26日

嗨，努力学习的PZer你好：


因为Q29的duration neutral的两个duration分别是4.9和8.9，duration neutral是4.9*NP（5年期）=8.9*NP(10年期），所以5年期的NP是10年期的1.82倍。

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努力的时光都是限量版，加油！

Yiyun · 2023年12月10日

duration neutral 的使用是否假设5年期和10年期两个时间点的spread变动是相同的，于是NP的比例可以用Duration的比例计算？ 因为题目只说了investment-grade credit spread curve并没说delta spread怎么变

lynn_品职助教 · 2023年12月11日

嗨，努力学习的PZer你好：


duration neutral 的使用是否假设5年期和10年期两个时间点的spread变动是相同的，于是NP的比例可以用Duration的比例计算？ 因为题目只说了investment-grade credit spread curve并没说delta spread怎么变


是的，可以理解为暗含这个假设

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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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