问题如下图:
选项:
A.
B.
C.
D.
经常看到题里说flat结构,这个是什么意思呢?对答题有影响吗? 解释:
A portfolio manager uses her valuation mol to estimate the value of a bonportfolio US125.482 million. The term structure is flat. Using the same mol, she estimates ththe value of the portfolio woulincrease to US127.723 million if all interest rates fell 30anwoulcrease to US122.164 million if all interest rates rose 30bp. Using these estimates, the effective ration of the bonportfolio is closest to: 8.38 16.76 7.38 14.77 ANSWER: C Equation: =P−−P+2P0△y=P(y0−△y)−P(y0+△y)2P0△yE=\frac{P_--P_+}{2P_0\bigtriangleup y}=\frac{P{(y_0-\bigtriangleup y)}-P{(y_0+\bigtriangleup y)}}{2P_0\bigtriangleup y}=2P0△yP−−P+=2P0△yP(y0−△y)−P(y0+△y), effective ration is =P−−P+2P0△y=127.723−122.164125.482×0.6%=7.38E=\frac{P_--P_+}{2P_0\bigtriangleup y}=\frac{127.723-122.164}{125.482\times0.6\%}=7.38=2P0△yP−−P+=125.482×0.6%127.723−122.164=7.38 term structure is flat代表什么?
这题是怎么计算的呀?没看到课件里面讲得有啊
怎么感觉课件里没有这个知识点,这个公式需要记住吗