NO.PZ2022062755000007
问题如下：
A portfolio manager is mapping a fixed-income portfolio into exposures on selected risk factors. The manager
is analyzing the comparable mechanics and risk measurement outputs of principal mapping, duration
mapping, and cash-flow mapping. Which of the following is correct?
选项：
A.Cash-flow mapping groups cash flows into buckets based on their size.
Cash-flow mapping uses the average rates in each risk group as a discount factor.
Principal mapping incorporates correlations among zero-coupon bonds.
Duration mapping replaces the portfolio with a zero-coupon bond with maturity equal to the duration of
the portfolio.
解释：
中文解析：
duration mapping是把组合mapping到期限相同的0息债券。
cash-flow mapping是考虑到了所有cash flow的现值，折现率使用0息债券的利率。
principle mapping是只考虑支付本金的时间。
D is correct. With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio.
A is incorrect. Cash-flow mapping considers the present values of the cash flows placed to correspond to the maturities for which volatilities are provided. So, in cash-flow mapping, cash flows are grouped into maturity brackets.
B is incorrect. Cash-flow mapping considers the present values of the cash flows and uses the appropriate zero-coupon rate as the discount factor.
C is incorrect. Principal mapping is a simple method that considers the timing of
redemption payments only. Correlations among zero-coupon bonds with different
maturities are considered in cash-flow mapping.
老师在cash flow mapping的时候考虑相关性是从假设每笔现金流的发生都是独立同分布的角度出发，也就是认为相关性是0，才得到的mapping对吗？
