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大恰恰 · 2023年07月12日

Duration 和 R 之间的关系

NO.PZ2023061601000038

问题如下:

Adams and junior portfolio manager Frank Neeson review the fixed-income portfolios of two new defined benefit plan clients, Lawson Doors & Cabinets, Inc., and Wharton Farms. Adams states to Neeson, “For the Lawson and Wharton plans, we can consider some strategies to manage the multiple liabilities associated with these plans. We could also use a derivatives strategy, and I prefer derivatives strategies that protect the portfolio against an increase in interest rates but will not produce large losses if rates decrease.”

Which of the following strategies most likely meets Adams’ preferences? (2019 mock AM)

选项:

A.Buy a payer swaption. B.Write a receiver swaption. C.Enter into a pay fixed swap.

解释:

Correct Answer: A

A is correct. Adams would most likely buy a payer swaption. Although all three choices would hedge against rising interest rates, the potential losses on a payer swaption if rates fell would be limited to the option premium and would not be potentially large with uncertain timing.

B is incorrect because the potential loss on writing a receiver swaption if rates fell would be contingent on the interest rate and would be uncertain until termination of the contract.

C is incorrect because the amount of the potential loss if interest rates fell is contingent on the interest rate and would be uncertain until termination of the contract with a pay fixed swap.’

在何老师的讲解中提到,降低portfolio duration 可以protect against increased interest rate

怎么理解这个关系呢?

1 个答案
已采纳答案

pzqa015 · 2023年07月12日

嗨,从没放弃的小努力你好:


△P/P=-MD*△y,由于利率与价格变动方向相反,如果预测未来利率上涨,那么可以通过降低duration来减少价格的损失。

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