NO.PZ2019070101000092
问题如下：
The table provides relevant information about four bonds in a portfolio, based on the table, the price value of a basis point for this portfolio is close to?
选项：
A.
$65,341.15.
B.
$77,518.65.
C.
$73,124.38.
D.
$72,647.90.
解释：
D is correct
考点：Bond Duration-DV01
解析：
首先：求组合的Effective duration
portfolio价格=sum（面值权重*价格）
=0.25×105+0.25×100+0.2×95+0.3×87
=96.35
易错点：要用权重×市值（也就是价格），千万不是权重×面值
portfolio effective duration=sum（面值权重*portfolio价格*effective duration）/portfolio的债券总价值
=(0.25×105×8+0.25×100×8.5+0.2×95×2+0.3×87×10.2)/96.36
=7.54
易错点：题目中的债券涉及含权，所以要用各自的effective duration来计算
其次：求the price value of a basis point
=portfolio effective duration*1bp*portfolio价格*1000000
=7.54 x 0.0001 x 96.35×1000000
= $72,647.9
可以算出每个债券的价格变动再用0.25，0.25，0.2，0.3加权，最后乘1000000吗（100万除100）
