NO.PZ202112010200000105
问题如下:
An economic slowdown is expected to result in a 25 bp decline in Australian yield levels. Which portfolio alternative will experience the largest gain under this scenario?
选项:
A.
Bullet portfolio
B.
Barbell portfolio
C.
Equally weighted portfolio
解释:
B is correct. The portfolio value change due to lower Australian government
rate levels may be
calculated using Equation 3:
%∆PVFull ≈ -(ModDur ×
ΔYield) + [½ × Convexity × (ΔYield)2],
where ModDur and
Convexity reflect portfolio duration and convexity, respectively. Therefore,
the barbell portfolio rises by 1.276%,
or (-5.049 × -0.0025) + [0.5
× 45.05 × (-0.00252)],
followed by the equally
weighted portfolio at 1.207%, or
(-4.779 × -0.0025) +
[0.5 × 37.4 × (-0.00252)],
and the bullet portfolio at 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 × (-0.00252)].
如题头,是不是本题根本不用计算?