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顾思萌要加油 · 2024年06月03日

没看懂 解析，第一个看懂了，后面的慢慢就不懂了

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023090501000087

问题如下：

An investment analyst is calculating the forward bucket 01 of a bond. The bond pays a 5% coupon annually, has a face value of CNY 100,000, and matures in 3 years. The analyst notes that the forward rate curve is flat at 3% (with all forward rates calculated for 1-year periods), and uses two forward buckets of 0-2 years and 2-3 years. What is the forward bucket 01 of the bond for the 2-3 year bucket, assuming an upward shift in interest rates?

选项：

A.

CNY 9.33

B.

CNY 19.11

C.

CNY 20.04

D.

CNY 27.98

解释：

Explanation

A is correct. The current value of the bond is:

When forward rates in the 2-3 year forward bucket are increased by 1 bp, the value of the bond becomes:


The forward bucket 01 is the difference between these values: 105,657.22 - 105,647.89 = CNY 9.33


Section Valuation and Risk Models

Learning Objective Relate key rates, partial 01s, and forward-bucket 01s and calculate the forwardbucket 01 for a shift in rates in one or more buckets.

Reference Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 13. Modeling Non-Parallel Term Structure Shifts and Hedging.

为啥后面是1.0301了 ，我是不是哪里没听懂这节课。。

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李坏_品职助教 · 2024年06月03日

嗨，从没放弃的小努力你好：


一开始先按照3%的远期利率计算债券价格，所以105000的分母就是三个1.03连乘：


When forward rates in the 2-3 year forward bucket are increased by 1 bp，

意思是，当2-3年的远期利率增加1个bp的时候，1个bp = 0.01%. 所以是2-3年的远期利率上升0.01%，也就是从3%变成了3.01%：

债券价格计算如下：

所以这个1.0301其实就是远期利率从3%变成了3.01%造成的。



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