NO.PZ2020011303000232
问题如下:
What is a forward bucket 01?
选项:
A.
The decrease in the value of a portfolio when a specific forward rate is increased by one basis point.
B.
The increase in the value of a portfolio when a specific forward rate is decreased by one basis point.
C.
The increase in the value of a portfolio when all the forward rates within a particular bucket are decreased by one basis point.
D.
The decrease in the value of a portfolio when all the forward rates within a particular bucket (i.e., all the forward rates corresponding to a particular range of maturities) are increased by one basis point.
解释:
A forward bucket 01 is the decrease in the value of a portfolio when all the forward rates within a particular bucket (i.e., all the forward rates corresponding to a particular range of maturities) are increased by one basis point.
题目问:什么是forward bucket 01?
当特定的bucket里的所有的forward rate上升1bp,所导致value的下降。
c为什么不对 和D不就是反过来吗