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张大龙 · 2025年02月22日

c为什么不对 和D不就是反过来吗

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

1 个答案

李坏_品职助教 · 2025年02月22日

嗨,努力学习的PZer你好:


这个就是考查对定义的掌握了。


按照forward bucket 01的定义,是在一个bucket的forward rate都上升1个bp的情况下,带来的组合value的下降。这个也是教材的定义,并且债券市场上大家也都习惯这种定义了。C从原理来说也没啥大问题,只是没有D那么严谨。



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努力的时光都是限量版,加油!

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