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开泰-王飞 · 2022年11月01日

这几个yield到底有什么区别?

* 问题详情,请 查看题干

NO.PZ201812020100000404

问题如下:

The two-bond hypothetical portfolio’s immunization goal is to lock in a rate of return equal to:

选项:

A.

9.55%.

B.

9.85%.

C.

10.25%

解释:

B is correct.

Immunization is the process of structuring and managing a fixed-income portfolio to minimize the variance in the realized rate of return and to lock in the cash flow yield (internal rate of return) on the portfolio, which in this case is 9.85%.

YTM不就是内部收益率吗?

3 个答案

pzqa015 · 2022年11月03日

嗨,爱思考的PZer你好:


portfolio 的ytm是cash flow yield,不是weighted average ytm。

这道题weighted average ytm是9.55%,cash flow yield是9.85%

免疫策略免疫的是cash flow yield。

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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!

开泰-王飞 · 2022年11月03日

这题的ytm是9.55

pzqa015 · 2022年11月01日

嗨,从没放弃的小努力你好:


是呀

ytm就是IRR.

对于portfolio来说,portfolio 的YTM叫cash flow yield。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ201812020100000404

2021-05-05 19:45 1 · 回答

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