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dada · 2020年08月22日

问一道题:NO.PZ2019103001000004 [ CFA III ]

问题如下:

After further review of the composition of each of the funds, Perreaux notes the following.

Note 1:Aschel is the only fund of the three that uses leverage.

Note 2:Rosaiso is the only fund of the three that holds a significant number of bonds with embedded options.

Based on Note 2, Rosaiso is the only fund for which the expected change in price based on the investor’s views of yields and yield spreads should be calculated using:

选项:

A.

convexity.

B.

modified duration

C.

effective duration

解释:

C is correct.

Rosaiso is the only fund that holds bonds with embedded options. Effective duration should be used for bonds with embedded options. For bonds with embedded options, the duration and convexity measures used to calculate the expected change in price based on the investors’s views of yields and yield spreads are effective duration and effective convexity. For bonds without embedded options, convexity and modified duration are used in this calculation.

这个题放在leveraged这部分,考的是哪个知识点?谢谢

1 个答案

WallE_品职答疑助手 · 2020年08月23日

因为note1 含有leveraged字眼,所以放在了这边。

这道题问的是note2,考点算是CFA一级和二级的考点了,含权债券的久期用effective duration.

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