如果考虑利率下降1bp，算出来的结果是不一样的，这题为什么用上升算而没有考虑下降的情况

NO.PZ2020011303000242问题如下Calculate the forwarbucket 01s for a two-yebonwith a coupon of 8% ana favalue of US10,000 when the there are two buckets: 0–1 yean1–2 year. Assume ththe term structure is fl4% (semi-annually compoun. The value of the bonis400/1.02+400/1.022 +400/1.023 +10,400/1.024 = 10,761.5457When the forwarrates in the first bucket increase one basis point, the value of the bonbecomes400/1.02005+400/1.020052 +400/(1.020052×1.02)+10,400/(1.020052×1.022)= 10,760.5100This is a crease of 1.0358. When the forwarrates in the seconbucket increase one basis point, the value of the bonbecomes400/1.02+400/1.022+400/(1.022×1.02005)+10,400/(1.022×1.020052) = 10,760.5854This is a crease of 0.9604. The forwarbucket 01s are therefore 1.0358 an0.9604. 题目问2年期的债券couponrate是8%，面值是10k，当有2个buckets0-1年和1-2年时，计算forwarbucket 01s。假设利率的期限结构是flat，4%的利率，半年付息一次。债券价格= 400/1.02+400/1.022 +400/1.023 +10,400/1.024 = 10,761.5457当0-1年的bucket的forwarrate上升1bp时，债券价格变成= 400/1.02005+400/1.020052 +400/(1.020052×1.02)+10,400/(1.020052×1.022)= 10,760.5100价格下降了1.0358. 当1-2年的bucket的forwarrate上升1bp时，债券价格变成=400/1.02+400/1.022+400/(1.022×1.02005)+10,400/(1.022×1.020052)= 10,760.5854价格下降了0.9604. The forwarbucket 01s 为 1.0358 和 0.9604. 我记得老师上课给我们讲过题的思路 然后说基本计算考的概率很低 所以不太需要掌握？

NO.PZ2020011303000242 When the forwarrates in the first bucket increase one basis point, the value of the bonbecomes 400/1.02005+400/1.020052 +400/(1.020052×1.02)+10,400/(1.020052×1.022)= 10,760.5100 第三期和第四期的分母为什么是这样的？还有后面这一步也不太明白。 This is a crease of 1.0358. When the forwarrates in the seconbucket increase one basis point, the value of the bonbecomes 400/1.02+400/1.022+400/(1.022×1.02005) +10,400/(1.022×1.020052) = 10,760.585