问一道题：NO.PZ2020011303000069 [ FRM I ]

NO.PZ2020011303000069 问题如下 A portfolio pen on a 3.5-year, risk-free rate interest rate anno other rates or risk factors. It is calculateththe portfolio will increase in value US500 for eaone-basis-point increase in the rate. The rates thare moleare the three month, six-month, one-year, two-year, three-year, five-year, ten-year, anthirty yerates. Whis the lta of the portfolio with respeto eaof these rates? The portfolio ha lta with respeto the 3- an5-yerates anno other rates. When the 3-yerate changes one basis point, the 3.5-yerate changes 0.75 basis points. When the 5-yerate changes one basis point, the 3.5-yerate changes 0.25 basis points. The ltwith respethe 3- an5-yerates are therefore US375 anUS125, respectively. 题目问投资组合取决于 3.5 年期的无风险利率，没有其他利率或风险因素。 根据计算，利率每增加一个基点，投资组合的价值将增加 500 美元。 建模的利率是三个月、六个月、一年、两年、三年、五年、十年和三十年的利率。 相对于这些利率中的每一个，投资组合的 lta 是多少？3.5年和3年比3.5年和5年更加接近，所以肯定是3年对portfolio的影响更大一些。解答这类题目的思路是用3年和5年去凑一个3.5年，假设3年的影响比重为x，那么5年的影响比重则为1-x，得到3x+5(1-x)=3.5，得x=0.75 key rate只受相邻两个期限影响这点我知道，但是这里的“lta of the portfolio with respeto eaof these rates”是什么意思？问的是什么？答案说的又是什么？

NO.PZ2020011303000069问题如下A portfolio pen on a 3.5-year, risk-free rate interest rate anno other rates or risk factors. It is calculateththe portfolio will increase in value US500 for eaone-basis-point increase in the rate. The rates thare moleare the three month, six-month, one-year, two-year, three-year, five-year, ten-year, anthirty yerates. Whis the lta of the portfolio with respeto eaof these rates? The portfolio ha lta with respeto the 3- an5-yerates anno other rates. When the 3-yerate changes one basis point, the 3.5-yerate changes 0.75 basis points. When the 5-yerate changes one basis point, the 3.5-yerate changes 0.25 basis points. The ltwith respethe 3- an5-yerates are therefore US375 anUS125, respectively. 题目问投资组合取决于 3.5 年期的无风险利率，没有其他利率或风险因素。 根据计算，利率每增加一个基点，投资组合的价值将增加 500 美元。 建模的利率是三个月、六个月、一年、两年、三年、五年、十年和三十年的利率。 相对于这些利率中的每一个，投资组合的 lta 是多少？3.5年和3年比3.5年和5年更加接近，所以肯定是3年对portfolio的影响更大一些。解答这类题目的思路是用3年和5年去凑一个3.5年，假设3年的影响比重为x，那么5年的影响比重则为1-x，得到3x+5(1-x)=3.5，得x=0.75 老师好，1、从课程里讲到的内容，3.5年的利率，虽然受邻近的3年和5年影响最大，但是也会辐射到1年，6个月，10年呀。是说frm的题目就只考虑邻近的2个期限的利率吗？2、离得越近，辐射影像越大，所以3年影响最大？

NO.PZ2020011303000069问题如下A portfolio pen on a 3.5-year, risk-free rate interest rate anno other rates or risk factors. It is calculateththe portfolio will increase in value US500 for eaone-basis-point increase in the rate. The rates thare moleare the three month, six-month, one-year, two-year, three-year, five-year, ten-year, anthirty yerates. Whis the lta of the portfolio with respeto eaof these rates? The portfolio ha lta with respeto the 3- an5-yerates anno other rates. When the 3-yerate changes one basis point, the 3.5-yerate changes 0.75 basis points. When the 5-yerate changes one basis point, the 3.5-yerate changes 0.25 basis points. The ltwith respethe 3- an5-yerates are therefore US375 anUS125, respectively. 能理解三年和五年的影响，意思是这个影响是线性的嘛，但是375和125都是啥

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