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华赞 · 2024年10月31日

关于公式

NO.PZ2023091701000031

问题如下:

A portfolio manager uses her valuation model to estimate the value of a bond portfolio at USD 125.482 million. The term structure is flat. Using the same model, she estimates that the value of the portfolio would increase to USD 127.723 million if all interest rates fell by 30 basis points and would decrease to USD 122.164 million if all interest rates rose by 30 basis points. Using these estimates, the effective duration of the bond portfolio is closest to:

选项:

A.7.38

B.8.38

C.14.77

D.16.76

解释:

请问怎么找到V-和V+

1 个答案

李坏_品职助教 · 2024年10月31日

嗨,从没放弃的小努力你好:


V-指的是利率下降对应的债券组合价值。本题说portfolio would increase to USD 127.723 million if all interest rates fell by 30 basis points ,所以利率下降对应的债券组合价值V- 是127.723.


V+指的是利率上升对应的债券组合价值,本题说“ decrease to USD 122.164 million if all interest rates rose by 30 basis points”。所以V+ 是122.164.

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