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seven-zhu · 2023年02月26日

如题

  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

The interest rates on six-month and twelve-month maturity zero-coupon bonds are, respectively, 2% and 2.5%. 

折现第一笔现金流的时候，为什么不直接除以1.02呢。题目中给的2%是说的on six_month zero coupon bond，所以这也是一年的利率吗，如果是半年的利率，那为什么还要除以（1+0.02/2）呢

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1 个答案

品职答疑小助手雍 · 2023年02月28日

同志你好，对的，2%是年化的利率，要除以2才对应6个月的利率。

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