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鹏鹏 · 2024年01月15日

这道题能帮忙解释下吗

NO.PZ2023032703000023

问题如下:

To illustrate SD&R’s immunization approach for controlling portfolio interest rate risk, Compton discusses a hypothetical portfolio composed of two non-callable, investment-grade bonds. The portfolio has a weighted average yield-to-maturity of 9.55%, a weighted average coupon rate of 10.25%, and a cash flow yield of 9.85%.

The two-bond hypothetical portfolio’s immunization goal is to lock in a rate of return equal to:

选项:

A.

9.55%.

B.

9.85%.

C.

10.25%.

解释:

B is correct. Immunization is the process of structuring and managing a fixed income portfolio to minimize the variance in the realized rate of return and to lock in the cash flow yield (internal rate of return) on the portfolio, which in this case is 9.85%.

这道题能帮忙解释下吗 为啥cash flow yield?

1 个答案

pzqa31 · 2024年01月15日

嗨,努力学习的PZer你好:


cash flow yield是portfolio的IRR,是按照现金流折现后的价格等于Portfolio的现在价格反推出来的一个折现率,portfolio的cash flow yield更能反映portfolio价格受收益率曲线的影响,因此,我们要hegde int rate 发生变化时portfolio价格的变化,就应该hedge cash flow yield。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!