NO.PZ2023090201000100
问题如下:
Based on the following table, the duration of the portfolio is closest to:
选项:
A.9.48. B.9.35. C.9.74.解释:
B is correct.
The market values of the bonds (Price × Par amount) are $17,479,376, $4,018,928, and $6,771,416, respectively, for a portfolio value of $28,269,720. Therefore, the duration of the portfolio is 17,479,376 / 28,269,720×8.56+4,018,928 / 28,269,720×9.19+6,771,416 / 28,269,720×11.48=9.35
考点:portfolio duration
解析:组合久期是将组合中各资产的久期加权平均的结果,权重为各资产的市场价值占组合市场价值的比重。
1、首先先计算各资产的市场价值以及总市值。市场价值 = Price /100 × Par amount,三个债券的市场价值分别为$17,479,376、$4,018,928、$6,771,416,加总后总市值为$28,269,720。
2、计算各资产的权重:W1= 0.6183、W2 = 0.1422、W3 = 0.2395
3、portfolio duration = 8.56 × 0.6183 + 9.19 × 0.1422 + 11.48 × 0.2395 = 9.35
市场价值 = Price /100 × Par amount