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Pina · 2020年03月06日

问一道题：NO.PZ201701230200000306

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

问题如下：

6. Based on Exhibit 1, the results of Analysis 1 should show the yield on the 20-year bond decreasing by:

选项：

A.

0.3015%.

B.

0.6030%.

C.

0.8946%.

解释：

B is correct.

Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a two standard deviation increase in the steepness factor will lead to the yield on the 20-year bond decreasing by 0.6030%, calculated as follows:

Change in 20-year bond yield = -0.3015% ×2 = -0.6030%.

老师好 这里是否因为有个note说entries indicate how yields would change for a one standard deviation increase in factor,所以就不用在乘以一个 KRD了是吗？ 这note 指的是上升一个standard deviation 20年的steepness， 债券的收益率下降0.3015%是吗？这里因为已经考虑了收益率的变化方向，如果没这note是否要再乘以一个KRD = 20/3 不是乘以个- KRD =-20/3 了是吗？谢谢。

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WallE_品职答疑助手 · 2020年03月07日

同学你好，

这一题考察的是水平，利率陡峭程度和利率的曲度 对价格变化的影响。一般给出表格，也会对其说明是一个标准差的变化给yield带来的影响。如果题目没说，我们默认图标中的数字也是一个标准差的影响(至于向上还是向下的影响，要看他表里面数字前的符号，向上移动，债券价格是会下降的)。

再者KRD

∆ P/p ≅ − D1 ∆r 1 − D5 ∆r 5 − D 10 ∆r 10 你只需要把D的数字带进去就好了，这里应是20/3，公式前面有负号，所以请不要把自己给弄混了。但这一题的考点并不在此处，题目问的是2个标准差对steepness的影响。并没有问你在KRD20对这个steepness的影响。考试的时候一定要快速抓准考点哟。

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NO.PZ201701230200000306 问题如下 6. Baseon Exhibit 1, the results of Analysis 1 shoulshow the yielon the 20-yeboncreasing by: A.0.3015%. B.0.6030%. C.0.8946%. B is correct.Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows:Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%. 只要是Three-Factor Mol of Term Structure 给出这个表就是某个factor变动一个标准差，yiel变化对吗？

2024-07-28 11:42 1 · 回答

NO.PZ201701230200000306 0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.如题，能否从定性定量两个方面一下，谢谢

2021-06-06 17:09 1 · 回答

NO.PZ201701230200000306 0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.第6、7小问的题干里分别问the yielon the 20/5 years bon如何变化，拆成三个factor不是求的是portfolio的变化吗？所以题目里给的一个标准差变动对债券收益率的影响也不是对组合收益率的影响而是具体某期限债券收益率的影响？

2021-04-27 13:39 1 · 回答

0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.为什么不再乘以20ration？

2020-11-14 20:38 1 · 回答