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我们 · 2022年07月18日

如何判断用几期的CF？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000042

问题如下：

An analyst is using the delta-normal method to determine the VaR of a fixed income portfolio. The portfolio contains a long position in 1-year bonds with a $1 million face value and a 6% coupon that is paid semi-annually. The interest rates on six-month and twelve-month maturity zero-coupon bonds are, respectively, 2% and 2.5%. Mapping the long position to standard positions in the six-month and twelve-month zeros, respectively, provides which of the following mapped positions?

选项：

A.

$30,000 and 1,030,000

B.

$29,500 and 975,610

C.

$29,703 and 1,004,878

D.

$30,300 and 1,035,000

解释：

C is correct.

考点 ： Mapping to Fixed Income Portfolios

解析 ： The long position is mapped into a combination of market values of the zero-coupon bonds that provide the same cash flows:

Xsix=300001+0.02/2=29703X_{six}=\frac{30000}{1+0.02/2}=29703

Xtwelve=10300001+0.025=1004878X_{twelve}=\frac{1030000}{1+0.025}=1004878

这个题在算1年的时候，只算了一期的现金流，下图中的题在算1年期的现金流，算了2期的，请问如何判断？

1.06*1.05是什么意思呢？




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1 个答案

DD仔_品职助教 · 2022年07月19日

嗨，努力学习的PZer你好：


同学你好，

这两道题都在题干中标清楚了期限，第一题是一年期的，半年付息一次，所以用了6个月的现金流和12个月的来折现。

第二题是两年期的，年化现金流，所以用1年的现金流和2年的来折现。


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努力的时光都是限量版，加油！

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