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ZAA · 2019年08月21日

问一道题：NO.PZ2016031001000118 [ CFA I ]

  1. CFA I
  2. Fixed Income

问题如下图：

选项：

A.

B.

C.

解释：

effective duration指的是啥呢？？？？？
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1 个答案

吴昊_品职助教 · 2019年08月22日

正如题干中也提及了，衡量的是养老金对于市场利率变化的敏感程度，即市场利率变动1%，liability的价格变动多少。

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NO.PZ2016031001000118 问题如下 A Canapension funmanager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager termines the present value of the liabilities unr three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, ana 100 basis point op in rates wn to 6%. The results of the manager’s analysis are presentebelow:The effective ration of the pension funs liabilities is closest to: A.1.49. B.14.99. C.29.97. B is correct.The effective ration of the pension funs liabilities is closest to 14.99. The effective ration is calculatefollows:Effr=(PV−)−(PV+)2×(ΔCurve)×(PV0)Effr=\frac{(PV-)-(PV+)}{2\times(\lta Curve)\times(PV0)}Effr=2×(ΔCurve)×(PV0)(PV−)−(PV+)​PV0= 455.4, PV+= 373.6, PV-= 510.1, anΔCurve = 0.0100Effr=510.1−373.62×0.0100×455.4=14.99Effr=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99Effr=2×0.0100×455.4510.1−373.6​=14.99考点effective ration解析需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective ration为14.99，故B正确。 我看之前有一道题就是只计算向上+1个bp计算出P+然后和P0做差直接算出来结果，那这道题可以用同样的方法计算吗？

2023-05-26 10:49 1 · 回答

NO.PZ2016031001000118问题如下A Canapension funmanager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager termines the present value of the liabilities unr three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, ana 100 basis point op in rates wn to 6%. The results of the manager’s analysis are presentebelow:The effective ration of the pension funs liabilities is closest to:A.1.49.B.14.99.C.29.97. B is correct.The effective ration of the pension funs liabilities is closest to 14.99. The effective ration is calculatefollows:Effr=(PV−)−(PV+)2×(ΔCurve)×(PV0)Effr=\frac{(PV-)-(PV+)}{2\times(\lta Curve)\times(PV0)}Effr=2×(ΔCurve)×(PV0)(PV−)−(PV+)​PV0= 455.4, PV+= 373.6, PV-= 510.1, anΔCurve = 0.0100Effr=510.1−373.62×0.0100×455.4=14.99Effr=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99Effr=2×0.0100×455.4510.1−373.6​=14.99考点effective ration解析需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective ration为14.99，故B正确。 请翻译题目中对应curve变动率为0.01的句子

2022-12-03 16:54 1 · 回答

为什么ΔCurve = 0.0100？分母还要乘以2？

2020-01-14 14:16 1 · 回答