money duration=pvbp*mv吗？利率上涨100bps这个条件需要用吗？
问题如下图：
选项：
A. 
B. 
C. 
解释：
发亮_品职助教 · 2019年06月08日
"money duration=pvbp*mv吗？"
Money duration = Market value × Modified duration （or Effective duration）
如果要用Money duration的方法计算，Long-term bond因为最多可以投资150 million，所以Long-term bond的Money duration等于：
Money duration = Market value × modified duration = 150 million × 19.60 = 2940 million
因为是4个头寸都相等的Condor策略，所以2-year bond的Money duration也等于2940 million;
因为2-year bond的Duration = 1.97，题目让求2-year bond的Market value，所以有：
1.97 × 2-year market value = 2940 million； 2-year market value = 1492 million，选C
PVBP也是Money duration的相似概念，只不是PVBP是一个单位标准化的Money duration，PVBP = Money duration × 0.0001
注意表格里的PVBP是每1个Million的PVBP，现在Long-term bond让买150 million，如果要用表格里的PVBP计算，Long-term bond的PVBP为：
150 × 1960 = 294000 ；
因为是4个头寸都相等的Condor策略，所以2-year bond的PVBP也等于294000;
同时对于2-year bond，每1个Million的PVBP是197，现在2-year总的PVBP=294000，所以需要购买2-year bond：
294000 = 2-year bond market value × 197； 2-year bond market value = 1492 million，选C；
不用考虑收益率曲线变动100bps，因为这道题是让求Condor策略里的头寸，与利率变动无关。
粉红豹 · 2020年03月09日
请教下老师，这道题目哪里知道“是4个头寸都相等的Condor策略”呢？是从“The positions must be duration neutral, and the maximum.... ” 得出吗？
发亮_品职助教 · 2020年03月09日
“请教下老师，这道题目哪里知道“是4个头寸都相等的Condor策略”呢？是从“The positions must be duration neutral, and the maximum.... ” 得出吗？”
标准的Condor策略，就是左边翅膀的Long/Short达到Duration-neutral，且右边翅膀的Long/Short达到Duration-neutral即可。
不需要4个头寸都相等。
但是这道题就必须要相等，原因是，我们知道Long-term的Maximum头寸，按照标准的Condor，我们只能知道右边翅膀另外一个利率10-year的头寸；
但是现在题目是让求左边翅膀2-year的头寸，所以可以知道4个头寸必须相等，否则没办法跨越这么多期限，从long-term求2-year的头寸。
所以碰到这种从一个翅膀的头寸，求另外一个翅膀的头寸时，必须是4个都相等才能求。
粉红豹 · 2020年03月09日
好哒~：）谢谢老师~
NO.PZ201812020100000705
C$615 million. C$1,492 million C is correct. In orr to take ration-neutrpositions thwill profit from increase in the curvature of the yielcurve, Hirji shoulstructure a conr. This conr structure hthe following positions: long the 2-yebon, short the 5-yebon, short the 10-yebon, anlong the long-term bon. Hirji’s allocation to the 2-yebonposition is calculatefollows: The C$150 million long-term bon have a money ration of C$150 × 1,960 = C$294,000 Allocation to 2-yebon= Money ration of long-term bon/PVof 2-yebon2-yebonposition = C$294,000/197 = 1,492.39 or C$1,492 million 老师您好，既然左边翅膀和右边翅膀不一定相等……怎么能用左边的长期直接算右边的2年的？
NO.PZ201812020100000705 C$615 million. C$1,492 million C is correct. In orr to take ration-neutrpositions thwill profit from increase in the curvature of the yielcurve, Hirji shoulstructure a conr. This conr structure hthe following positions: long the 2-yebon, short the 5-yebon, short the 10-yebon, anlong the long-term bon. Hirji’s allocation to the 2-yebonposition is calculatefollows: The C$150 million long-term bon have a money ration of C$150 × 1,960 = C$294,000 Allocation to 2-yebon= Money ration of long-term bon/PVof 2-yebon2-yebonposition = C$294,000/197 = 1,492.39 or C$1,492 million 我看了你们的回答是 money = mv 乘以 mofie为什么答案里用pvbp？这个1bp的区别要紧吗？mofieration和pvbp是什么公式啊？谢谢
NO.PZ201812020100000705
本题为何should structure a condor？