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Cooljas · 2024年04月18日

可以列一下计算步骤吗?谢谢

NO.PZ2023091701000047

问题如下:

A risk manager wants to protect a portfolio of non-callable bonds against interest rate risk and is considering taking positions in two additional bonds, Bond A and Bond B, to accomplish this. Given the following information, what positions in Bond A and Bond B immunize the portfolio against change in the 5-year and 10 –year key rates?

选项:

A.Bond A:USD 0 Bond B :USD 732 B.Bond A:USD-2.717 Bond B :USD -1.275 C.Bond A:USD -500 Bond B :USD 732 D.Bond A:USD 0 Bond B :USD -1.275

解释:



1 个答案

pzqa39 · 2024年04月19日

嗨,爱思考的PZer你好:


设bond A face value 为FA, bond B face value 为FB

需要immunize,也就是完全对冲

FA x 0.46 + FB x 0.8 = -1.02

FA x 0 + FB x4 = -5.1

两方程联立,求得 FA FB

基础班有详细的例题讲解,建议听一下

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