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Cooljas · 2024年04月18日

可以列一下计算步骤吗？谢谢

  1. FRM I
  2. Valuation And Risk Models

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：



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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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NO.PZ2023091701000047 问题如下 A risk manager wants to protea portfolio ofnon-callable bon against interest rate risk anis consiring takingpositions in two aitionbon, BonA anBonto accomplish this. Giventhe following information, whpositions in BonA anBonB immunize theportfolio against change in the 5-yean10 –yekey rates? A.BonA:US0 BonB :US732 B.BonA:US2.717 BonB :US-1.275 C.BonA:US-500 BonB :US732 BonA:US0 BonB :US-1.275 老师可以写一下解析在上面吗？不知道怎么做

2023-10-17 12:28 1 · 回答