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mashiqi · 2023年08月12日

最新考试要求除了不用输入公式,答案里的英镑符号还需要写吗?

* 问题详情,请 查看题干

NO.PZ201601050100001802

问题如下:

One month later, Uff expects interest rates to rise. He decides to reduce the modified duration of the bond allocation of the Fund’s portfolio without selling any of its existing bonds. To do so, Uff adds a negative-duration position by entering into an interest rate swap in which he pays the fixed rate and receives the floating rate. Exhibit 2 presents selected data for the Fund’s bond allocation and the relevant swap contract.


Determine the required notional principal for the interest rate swap in order to achieve the target modified duration for the portfolio.

选项:

解释:

The swap notional principal required to achieve the target portfolio modified duration is calculated as follows:

NS=MDURTMDURPMDURS×MVP=5.00007.80002.4848×90,100,000=101,529,298.13N_S=\frac{MDUR_T-MDUR_P}{MDUR_S}\times MV_P=\frac{5.0000-7.8000}{-2.4848}\times€90,100,000=€101,529,298.13

herefore, Uff should enter into the selected three-year par pay-fixed, receive-floating interest rate swap with a notional principal of approximately €101,529,298.

中文解析:

本题考察的是使用利率互换来管理利率风险,带入上述公式计算即可,比较简单。

the required notional principal for the interest rate swap is 101529298

这样写可以吗?

1 个答案

pzqa31 · 2023年08月13日

嗨,爱思考的PZer你好:


币种符号建议写,比如英镑可以写GBP。

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