问题如下图:
选项:
A.
B.
C.
D.
解释:
我算的组合的D为3.025,组合价值2820000,算下来25个BP对应的变动是21330,为什么答案选A?
NO.PZ2016082402000015 问题如下 A bonportfolio hthe following composition: Portfolio pri$90,000, mofieration 2.5, long position in 8 bon Portfolio pri$110,000, mofieration 3, short position in 6 bon Portfolio pri$120,000, mofieration 3.3, long position in 12 bon All interest rates are 10%. If the rates rise 25 basis points, then the bonportfolio value will crease $11,430 $21,330 $12,573 $23,463 ANSWER: AThe portfolio llration is P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000\ast P=\sum x_ii^\ast P_i=+8\times2.5\times\$90,000-6\times3.0\times\$110,000P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000 +12×3.3×$120,000=$4,572,000+12\times3.3\times\$120,000=\$4,572,000+12×3.3×$120,000=$4,572,000.The change in portfolio value is then −(P)×△y-{(\ast P)}\times\bigtriangleup y−(P)×△y= −$4,572,000×0.0025=−$11,430=\;-\$4,572,000\times0.0025=-\$11,430=−$4,572,000×0.0025=−$11,430 解析组合A价格=90k,M2.5,long了8个债券组合B价格=110k,M3,short了6个债券组合C价格=120k,M3.3,long了12个债券所有的利率是10%,如果利率上升25bp,这个债券组合的价值会下降多少?组合的llarration=+8×2.5×$90k−6×3×$110k+12×3.3×$120k=$4,572k价值会下降=$4,572k*25bp= -11,430
NO.PZ2016082402000015问题如下 A bonportfolio hthe following composition: Portfolio pri$90,000, mofieration 2.5, long position in 8 bon Portfolio pri$110,000, mofieration 3, short position in 6 bon Portfolio pri$120,000, mofieration 3.3, long position in 12 bon All interest rates are 10%. If the rates rise 25 basis points, then the bonportfolio value will crease $11,430 $21,330 $12,573 $23,463 ANSWER: AThe portfolio llration is P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000\ast P=\sum x_ii^\ast P_i=+8\times2.5\times\$90,000-6\times3.0\times\$110,000P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000 +12×3.3×$120,000=$4,572,000+12\times3.3\times\$120,000=\$4,572,000+12×3.3×$120,000=$4,572,000.The change in portfolio value is then −(P)×△y-{(\ast P)}\times\bigtriangleup y−(P)×△y= −$4,572,000×0.0025=−$11,430=\;-\$4,572,000\times0.0025=-\$11,430=−$4,572,000×0.0025=−$11,430 Portfolio pri$90,000, mofieration 2.5, long position in 8 bonPortfolio pri$110,000, mofieration 3, short position in 6 bonPortfolio pri$120,000, mofieration 3.3, long position in 12 bon这道题为什么要乘以8、6、12呢?Portfolio A 不是一个含有8个bon的组合,Portfolio A 的价格是90,000吗?还是Portfolio 8个bon每个bon是90,000,合计720,000?
NO.PZ2016082402000015 A bonportfolio hthe following composition: Portfolio pri$90,000, mofieration 2.5, long position in 8 bon Portfolio pri$110,000, mofieration 3, short position in 6 bon Portfolio pri$120,000, mofieration 3.3, long position in 12 bon All interest rates are 10%. If the rates rise 25 basis points, then the bonportfolio value will crease $11,430 $21,330 $12,573 $23,463 ANSWER: A The portfolio llration is P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000\ast P=\sum x_ii^\ast P_i=+8\times2.5\times\$90,000-6\times3.0\times\$110,000P=∑xi∗Pi=+8×2.5×$90,000−6×3.0×$110,000 +12×3.3×$120,000=$4,572,000+12\times3.3\times\$120,000=\$4,572,000+12×3.3×$120,000=$4,572,000.The change in portfolio value is then −(P)×△y-{(\ast P)}\times\bigtriangleup y−(P)×△y = −$4,572,000×0.0025=−$11,430=\;-\$4,572,000\times0.0025=-\$11,430=−$4,572,000×0.0025=−$11,430 这里的10%有用吗?All interest rates are 10%.
不是很懂为什么Portfolio B的ration要减去。0不是代表利率上升,价格会上升吗。还是只是因为头寸方向所以带负号? 谢谢