问题如下图:
选项:
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解释:
1 我看书上的两道例题也没有指出是上升还是下降,但都是按照上升来做,是不是默认上升呢? FRM题目本身就没有非常严谨,觉得考试中很可能这样出,所以想确认一下
2 我想在这里确认一下我的思路。zero coupon, y 上升 1bp, 价格下跌,duration 为正.
NO.PZ2019070101000054问题如下The following table gives information about a zero-coupon bon Baseon the table, the key rate ration for a 10-yeshift is close to? A.-6.76.B.6.76.C.-4.84.4.84. is correct考点Key Rate ration解析key rate ration for a 10-yr shift= - 1/initivalue× (10-yeshift for 1 - initivalue)/1bp= - 1/87.1876 ×(87.1454-87.1876)/0.01%=4.84 因为题目就四个 只要判断出正负号 然后算出KR01 估计一个差不多的数据可以吗
NO.PZ2019070101000054问题如下 The following table gives information about a zero-coupon bon Baseon the table, the key rate ration for a 10-yeshift is close to? A.-6.76.B.6.76.C.-4.84.4.84. is correct考点Key Rate ration解析key rate ration for a 10-yr shift= - 1/initivalue× (10-yeshift for 1 - initivalue)/1bp= - 1/87.1876 ×(87.1454-87.1876)/0.01%=4.84 这个久期公式前有负号吗?我算的是4.84正的
NO.PZ2019070101000054问题如下 The following table gives information about a zero-coupon bon Baseon the table, the key rate ration for a 10-yeshift is close to? A.-6.76.B.6.76.C.-4.84.4.84. is correct考点Key Rate ration解析key rate ration for a 10-yr shift= - 1/initivalue× (10-yeshift for 1 - initivalue)/1bp= - 1/87.1876 ×(87.1454-87.1876)/0.01%=4.84 为什么我求出来是负的4.84
NO.PZ2019070101000054问题如下The following table gives information about a zero-coupon bon Baseon the table, the key rate ration for a 10-yeshift is close to? A.-6.76.B.6.76.C.-4.84.4.84. is correct考点Key Rate ration解析key rate ration for a 10-yr shift= - 1/initivalue× (10-yeshift for 1 - initivalue)/1bp= - 1/87.1876 ×(87.1454-87.1876)/0.01%=4.84 公式变形,这么计算的吗如图
NO.PZ2019070101000054 问题如下 The following table gives information about a zero-coupon bon Baseon the table, the key rate ration for a 10-yeshift is close to? A.-6.76. B.6.76. C.-4.84. 4.84. is correct考点Key Rate ration解析 − 1 87.1876 87.1454−87.1876 0.01% =4.84 这道题不明白,明明利率上升价格是下降的,久期应该是负的,为什么这里是正的