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何小建 · 2019年09月25日

问一道题：NO.PZ2016082402000017 [ FRM I ]

  1. FRM I
  2. Valuation And Risk Models

问题如下图：在相同duration的情况下，barbell现金流更分散，duration应该更高，现在barbell和bullet的duration相同，那么barbell的期限应该更短？convexity感觉更小呢

选项：

A.

B.

C.

D.

解释：

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1 个答案

orange品职答疑助手 · 2019年09月26日

这个有点超纲了，但它是正确的。我把原版书上的相关内容贴一下，同学可以把这个当成结论记一下就可以了


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NO.PZ2016082402000017问题如下 Whiof the following statements is correregarng the effects of interest rate shift on fixeincome portfolios with similrations? A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases with the square of maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases with the square of maturity. ANSWER: The statement compares two portfolios with the same ration. A barbell portfolio consists of a combination of short-term anlong-term bon. A bullet portfolio honly meum-term bon. Because convexity is a quaatic function of time to wait for the payments, the long-term bon create a large contribution to the convexity of the barbell portfolio, whimust higher ththof the bullet portfolio.解析关于利率变动对久期相似的固定收益投资组合的影响，以下哪项陈述是正确的？现金流越分散，convexity越大，并且convexity随着期限的平方增加。barbell现金流比bullet更分散。 这是基础课程哪一块知识，求。。

2023-04-21 15:10 1 · 回答

Whiof the following statements is correregarng the effects of interest rate shift on fixeincome portfolios with similrations? A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases with the square of maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases with the square of maturity. ANSWER: B The statement compares two portfolios with the same ration. A barbell portfolio consists of a combination of short-term anlong-term bon. A bullet portfolio honly meum-term bon. Because convexity is a quaatic function of time to wait for the payments, the long-term bon create a large contribution to the convexity of the barbell portfolio, whimust higher ththof the bullet portfolio. 久期相同的前提下，不是应该现金流更分散的barbell的maturity更长吗？那么convexity和maturity的平方关系不是应该更大吗?为什么不选

2020-05-20 12:21 1 · 回答

B的原因应该不是square of maturity吧，convexity 增加的幅度大于ration的原因是因为square of maturity？

2019-03-22 18:25 1 · 回答