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梦梦 · 2024年08月28日

关于DV01的假设

NO.PZ2023091701000173

问题如下:

A derivatives trader at an investment bank has initiated an interest rate swap contract today with an institutional client. The current value of the trader’s position in the contract is near zero. The trader considers using either DV01 or effective duration to measure the interest rate sensitivity of the position and assess by how much its value could decline if the term structure of spot rates moves unfavorably. What would be the most appropriate measure for the analyst to use to quantify the interest rate risk of the contract, and why?

选项:

A.DV01, because effective duration expresses interest-rate sensitivity as a currency amount rather than as a percentage

B.DV01, because the effective duration calculated for this position may not be meaningful in these circumstances

C.Effective duration, because DV01 cannot be calculated for a position in a derivative contract

D.Effective duration, because DV01 is only accurate when estimating the effect of a large change in interest rates

解释:

B is correct. DV01 is likely to be the most appropriate risk measure for interest rate swaps. Effective duration is not a meaningful measure in this situation because the value of the contract is close to zero.

A is incorrect. Effective duration expresses the impact of rate changes on the position’s value as a percentage, not a currency amount.

C is incorrect. DV01 can be calculated for any position whose value depends on interest rates, including interest rate derivatives such as swaps.

D is incorrect. DV01 describes the impact of a 1-bp change in interest rates, for which it is most accurate. It becomes less accurate as it is applied to larger interest rate changes.

老师,D选项,视频里讲到DV01和effective duration都是利率变化较大时评估准确,不对吧?BV01的假设不是price/yield curve is linear吗?只考虑一阶导,微小的变化

4 个答案

pzqa27 · 2024年09月09日

嗨,爱思考的PZer你好:


那要看题目具体要求,看下是在reset前还是在reset之后。

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pzqa27 · 2024年09月09日

嗨,爱思考的PZer你好:


但是如果有一个swap合约t value=0,是说fixed rate一端的value=浮动端债券的面值+t时浮动利率的value?

t时刻value=0代表在t时刻,固定端的价值=浮动端的价值。

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梦梦 · 2024年09月09日

但是t时刻浮动端的value我记得是两部分组成吧,一部分是t时刻之后的现金流折现成面值,一部分t时刻的现金流

pzqa27 · 2024年09月09日

嗨,从没放弃的小努力你好:


1、“The current value of the trader’s position in the contract is near zero”这句话代表什么意思呢?

就是说现在这个swap是不赚不亏的状态。


 2、DV01和effective duration都是较短时间的变化可以衡量duration吗?那为什么这道题选择B呢

DV01和effective duration都是用于利率小幅度变化的场景,并非短时间变化。

另外这个题选B的原因很简单,因为effective duration的分母是0,它根本没法算。

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努力的时光都是限量版,加油!

梦梦 · 2024年09月09日

明白了,基于公式的分母,V0=0,谢谢。但是如果有一个swap合约t value=0,是说fixed rate一端的value=浮动端债券的面值+t时浮动利率的value?

pzqa27 · 2024年08月29日

嗨,从没放弃的小努力你好:


解析里写了,DV01对于大幅度的利率变化是不准确的。

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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!

梦梦 · 2024年09月09日

1、“The current value of the trader’s position in the contract is near zero”这句话代表什么意思呢? 2、DV01和effective duration都是较短时间的变化可以衡量duration吗?那为什么这道题选择B呢

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