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梦梦 · 2024年08月28日

关于DV01 的假设

NO.PZ2023091701000027

问题如下:

Which of the following assumptions are made when using DV01 as a measure of interest rate risk?

I.Changes in the interest rates are small.
II.The yield curve is flat.
III.Changes to the yield curve are parallel.
IV.The yield curve is downward sloping.

选项:

A.I and III

B.I and II

C.I and IV

D.II and III

解释:

DV01 may not be a reliable measure when interest rates changes are not small. Also, when applying DV01 we assume that the yield curve shifts are parallel.

老师好,为什么DV 01要有收益率曲线平行移动的假设?当时在讲DV01时,笔记上记了一句话“限制性条件:price/yield curve is linear”这个意思是只考虑一阶导是吧?

1 个答案

品职答疑小助手雍 · 2024年08月29日

嗨,爱思考的PZer你好:


DV01本质上就是使用duration来计算的,假设就包含了平行移动

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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