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NO.PZ2018062006000118

问题如下：

Peter is a pension fund manager who wants to measure the sensitivity of his pension liabilities to market interest rate changes. Assuming that the base rate is 9%, a 100 basis point increase in rates up to 10%, and a 100 basis point drop in rates down to 8%. The related data is presented as following:

The effective duration of the pension fund's liabilities is:

选项：

1.93.

19.31.

28.65.

解释：

B is correct.

PV₀= 357.5, PV₊= 298.1, PV_-= 436.2, and ΔCurve = 0.0100

$EffDur=\frac{436.2-298.1}{2\times0.0100\times357.5}=19.31$

The effective duration of the pension fund's liabilities is 19.31.

考点：effective duration

解析：需分别求出，由于利率下降100 bps的债券价格V-，和由于利率上升100 bps的债券价格V+。故而求得：PV+= 298.1, PV- = 436.2，后代入上述公式即可得到effective duration为19.31，故选项B正确。

请问像这种情况Y的改变永远是0.01吗

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pzqa015 · 2023年04月28日

嗨，努力学习的PZer你好：

题目给了8%、9%、10%对应的value，让计算ED，8%、10%都与9%相差1%，所以利率变动是0.01

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2018062006000118问题如下Peter is a pension funmanager who wants to measure the sensitivity of his pension liabilities to market interest rate changes. Assuming ththe base rate is 9%, a 100 basis point increase in rates up to 10%, ana 100 basis point op in rates wn to 8%. The relateta is presentefollowing:The effective ration of the pension funs liabilities is:A.1.93.B.19.31.C.28.65. B is correct.PV0= 357.5, PV+= 298.1, PV-= 436.2, anΔCurve = 0.0100Effr=436.2−298.12×0.0100×357.5=19.31Effr=\frac{436.2-298.1}{2\times0.0100\times357.5}=19.31Effr=2×0.0100×357.5436.2−298.1=19.31The effective ration of the pension funs liabilities is 19.31.考点effective ration解析需分别求出，由于利率下降100 bps的债券价格V-，和由于利率上升100 bps的债券价格V+。故而求得PV+= 298.1, PV- = 436.2，后代入上述公式即可得到effective ration为19.31，故B正确。请问▶️Curve是怎么来的？

2022-10-16 18:03 1 · 回答

老师，这道题我按了两遍计算器，答案算出来都是18.379，发现没有正确答案，就选了个最相近的，还对了。能不能麻烦老师帮忙确认下？

2018-09-17 22:31 1 · 回答

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