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临江仙 · 2020年04月12日

问一道题：NO.PZ2020011303000243

  1. FRM I
  2. Valuation And Risk Models

问题如下：

Previous question:

A two-year bond with a coupon of 8% and a face value of USD 10,000 when the there are two buckets: 0-1 year and 1-2 year. Assume that the term structure is flat at 4% (semi-annually compounded).

Convert the forward bucket 01s in the last question to durations.

选项：

解释：

The duration measure for the first forward bucket is

10,000×1.0358/10,761.5457= 0.9625

The duration measure for the second forward bucket is

10,000×0.9604/10,761.5457= 0.8924

Assume that the term structure is flat at 4% (semi-annually compounded)

——这是什么意思？没有读懂题目，也不懂这里考的啥

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1 个答案

品职答疑小助手雍 · 2020年04月12日

同学你好，其实这里问的就是key rate duration，

前一问算的是0-1年的利率和1-2年的利率变化1个基点带来的债券价格变化，

这一问问的就是通过前一问的债券价格变化求其对应的0-1和1-2的key rate久期。

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NO.PZ2020011303000243 问题如下 A two-yebonwith a coupon of 8% ana favalue of US10,000. There are two buckets: 0-1 yean1-2 year, anthe forwarbucket 01s are 1.0358 an0.9604 corresponngly.Assume ththe term structure is fl4% (semi-annually compoun. Convert the forwarbucket 01s to rations. The value of the bonis 4001.02+4001.022+4001.023+10,4001.024=10,761.5457\frac{400}{1.02}+\frac{400}{1.02^2}+\frac{400}{1.02^3}+\frac{10,400}{1.02^4}=10,761.54571.02400​+1.022400​+1.023400​+1.02410,400​=10,761.5457The ration measure for the first forwarbucket is10,000×1.035810,761.5457=0.9625\frac{10,000\times1.0358}{10,761.5457}=0.962510,761.545710,000×1.0358​=0.9625The ration measure for the seconforwarbucket is10,000×0.960410,761.5457=0.8924\frac{10,000\times0.9604}{10,761.5457}=0.892410,761.545710,000×0.9604​=0.8924题目问2年期的债券couponrate是8%，面值是10k，当有2个buckets0-1年和1-2年时，forwarbucket 01s 为 1.0358 和 0.9604.假设利率的期限结构是flat，4%的利率，半年付息一次。请将forwarbucket 01s转化成为rations。ration=面值*forwarucket 01/债券价格 ration=面值*forwarbucket 01/债券价格这里为什么不是value而是面值？

2024-04-22 23:05 1 · 回答

NO.PZ2020011303000243问题如下 A two-yebonwith a coupon of 8% ana favalue of US10,000. There are two buckets: 0-1 yean1-2 year, anthe forwarbucket 01s are 1.0358 an0.9604 corresponngly.Assume ththe term structure is fl4% (semi-annually compoun. Convert the forwarbucket 01s to rations. The value of the bonis 4001.02+4001.022+4001.023+10,4001.024=10,761.5457\frac{400}{1.02}+\frac{400}{1.02^2}+\frac{400}{1.02^3}+\frac{10,400}{1.02^4}=10,761.54571.02400​+1.022400​+1.023400​+1.02410,400​=10,761.5457The ration measure for the first forwarbucket is10,000×1.035810,761.5457=0.9625\frac{10,000\times1.0358}{10,761.5457}=0.962510,761.545710,000×1.0358​=0.9625The ration measure for the seconforwarbucket is10,000×0.960410,761.5457=0.8924\frac{10,000\times0.9604}{10,761.5457}=0.892410,761.545710,000×0.9604​=0.8924题目问2年期的债券couponrate是8%，面值是10k，当有2个buckets0-1年和1-2年时，forwarbucket 01s 为 1.0358 和 0.9604.假设利率的期限结构是flat，4%的利率，半年付息一次。请将forwarbucket 01s转化成为rations。ration=面值*forwarucket 01/债券价格 请问一下为什么这里的ration不带负号呢？

2024-03-31 20:57 1 · 回答

NO.PZ2020011303000243 这一题，以及前面一个题，都没太看懂。 请问这个考点的计算，重要么？

2021-10-30 17:11 1 · 回答