NO.PZ2016031001000118
问题如下:
A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:
The effective duration of the pension fund’s liabilities is closest to:
选项:
A.1.49.
B.14.99.
C.29.97.
解释:
B is correct.
The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:
PV0= 455.4, PV+= 373.6, PV-= 510.1, and ΔCurve = 0.0100
考点:effective duration
解析:需分别求出,由于利率下降100bps的债券价格V-,和由于利率上升100bps的债券价格V+。故而求得:PV+= 373.6, PV- = 510.1,后代入上述公式即可得到effective duration为14.99,故选项B正确。
我看之前有一道题就是只计算向上+1个bp计算出P+然后和P0做差直接算出来结果,那这道题可以用同样的方法计算吗?