问一道题：NO.PZ2016031001000118

问题如下：

A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:

The effective duration of the pension fund’s liabilities is closest to:

选项：

1.49.

14.99.

29.97.

解释：

B is correct.

The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:

$EffDur=\frac{(PV-)-(PV+)}{2\times(\Delta Curve)\times(PV0)}$

PV₀= 455.4, PV₊= 373.6, PV_-= 510.1, and ΔCurve = 0.0100

$EffDur=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99$

为什么ΔCurve = 0.0100？分母还要乘以2？

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吴昊_品职助教 · 2020年01月14日

嗨，从没放弃的小努力你好：

有效久期的公式里分母就是有2，具体公式见基础班讲义P302，△curve就是利率的变动幅度，现在题目中明确说利率变动100bp，那就是0.01。

另外，同学你问的问题很基础，一看就是没有好好听课。有效久期是一级固收中很重要的知识点，何老师在课上重点强调。建议你认真听讲课程，在理解的基础上来做题才是有效率的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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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

effective ration指的是啥呢？？？？？

2019-08-21 19:25 1 · 回答

问一道题：NO.PZ2016031001000118

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