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Spencer · 2022年12月15日

Modified Duration和Convexity如果是unequal weighted的话

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NO.PZ202112010200000102

问题如下:

The manager estimates that accelerated economic growth in Australia will increase the level of government yields-to-maturity by 50 bps.

Under this scenario, which of the three portfolios experiences the smallest decline in market value?

选项:

A.

Bullet portfolio

B.

Barbell portfolio

C.

Equally weighted portfolio

解释:

A is correct. The change in portfolio value due to a rise in Australian government rate levels may be calculated using Equation:

%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the bullet portfolio declines by 2.093%, or -2.093% = (-4.241 × 0.005) + [0.5 × 22.1 × (0.0052)],

followed by a drop of 2.343% for the equally weighted portfolio, or

-2.343% = (-4.779 × 0.005) + [0.5 × 37.4 × (0.0052)],

and a drop of 2.468% for the barbell portfolio, or

-2.468% = (-5.049 × 0.005) + [0.5 × 45.05 × (0.0052)].

老师请问,如果Modified Duration和Convexity是unequal weighted的话, 计算barbell的时候就需要对应的weight*Modified Dur, weight*Convexity计算出barbell自己的Modified Dur和Convexity, 是这样理解吧?例如2y 占40%,9y占60%,配合这题的已知Modified Dur和Convexity, 计算出来的Barbell Mod Dur=0.4*1.922+0.6*8.175,Convexity=0.4*4.9+0.6*85.2

1 个答案

pzqa015 · 2022年12月15日

嗨,努力学习的PZer你好:


是的

----------------------------------------------
努力的时光都是限量版,加油!

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