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liuyiouyang · 2023年07月15日

老师可以指出一下考点ppt在那一页吗

NO.PZ2018120301000004

问题如下:

After further review of the composition of each of the funds, Cécile makes the following notes:

  • Note 1: Aschel is the only fund of the three that uses leverage.
  • Note 2: Rosaiso is the only fund of the three that holds a significant number of bonds with embedded options.

Based on Note 2, Rosaiso is the only fund for which the expected change in price based on the investor’s views of yields to maturity and yield spreads should be calculated using:

选项:

A.

convexity

B.

modified duration.

C.

effective duration.

解释:

C is correct. Rosaiso is the only fund that holds bonds with embedded options. Effective duration should be used for bonds with embedded options. For bonds with embedded options, the duration and convexity measures used to calculate the expected change in price based on the investor’s views of yields to maturity and yield spreads are effective duration and effective convexity. For bonds without embedded options, convexity and modified duration are used in this calculation.

以及不同的duration的用途

1 个答案

pzqa015 · 2023年07月16日

嗨,从没放弃的小努力你好:


这是一级固收讲的基础知识点,embedded option bond的价格对利率敏感程度,用effective duration来衡量。

区分一下几个duration

mac duration是久期这个词最本源的含义,是现金流发生时间的加权平均值,权重为每个时间点现金流占债券现值的比例,我们一级固收讲duration时,也是从mac duration引入久期这个概念的,mac D只能看成债券近似到期日的长短,不能用来衡量债券价格对收益率的敏感程度。

mofidied duration与effective duration才可以用来衡量债券价格对收益率的敏感程度,其中:

Modified duration用来预测未来收益率变化对债券价格的影响,是站在事前预测的角度,mod D=mac D/(1+y);

Effective duration是事后检验收益率变化对债券价格的影响,是站在事后回看的角度。ED=(V--V+)/2V0△y,此外,embedded option债的价格对收益率 的敏感程度,我们只能用ED来衡量,也就是站在事后,因为事前现金流不可预测。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!