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highsix · 2020年03月14日

问一道题:NO.PZ2019103001000047 [ CFA III ]

问题如下:

Six months later, Hirji reviews Canadian government bonds for a Malaysian institutional client. Prégent and Hirji expect changes in the curvature of the yield curve but are not sure whether curvature will increase or decrease. Hirji first analyzes positions that would profit from an increase in the curvature of the yield curve. The positions must be duration neutral, and the maximum position that the Malaysian client can take in long-term bonds is C$150 million. Hirji notes that interest rates have increased by 100 basis points over the past six months. Selected data for on-the-run Canadian government bonds are shown in Exhibit 2.

Based on Exhibit 2, the amount that Hirji should allocate to the 2-year bond position is closest to:

选项:

A.

C$331 million

B.

C$615 million

C.

C$1,492 million.

解释:

C is correct.

In order to take duration-neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. This condor structure has the following positions: long the 2-year bonds, short the 5-year bonds, short the 10-year bonds, and long the long-term bonds. Hirji’s allocation to the 2-year bond position is calculated as follows:

The C$150 million long-term bonds have a money duration of C$150 × 1,960 = C$294,000

Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond

2-year bond position = C$294,000/197 = 1,492.39 or C$1,492 million

是不是所有condor中,4个债券的money duration都相等,不仅仅局限于这道题?
1 个答案

发亮_品职助教 · 2020年03月15日

嗨,从没放弃的小努力你好:


“是不是所有condor中,4个债券的money duration都相等,不仅仅局限于这道题?”


不是的。

左右两个翅膀各自内部Long/Short的Money duration相等即可,也就是long 2-year/Short 5-year达到组内Money duration即可;同时,Short 10-year/Long long-term达到组合Money duration即可。

左边的2个头寸的Money duration不一定等于右边2个头寸的Money duration,当然特殊情况就是4个债券的头寸都相等。

这道题因为是用Long-term的头寸,求2-year的头寸,所以4个债券的Money duration必须相等,否则没办法跨越2个翅膀。

一般在求头寸时,题目会说4个Bonds的Money duration相等,或者像这道题一样,默认必须相等,否则没办法求。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!