开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

圣灵霜子 · 2020年09月30日

问一道题:NO.PZ2017121101000005 [ CFA III ]

问题如下:

A European bond portfolio manager wants to increase the modified duration of his €30 million portfolio from 3 to 5. She would most likely enter a receive-fixed interest rate swap that has principal notional of €20 million and:

选项:

A.

a modified duration of 2.

B.

a modified duration of 3.

C.

a modified duration of 4.

解释:

B is correct.

The portfolio manager’s goal is to use the receive- fixed, pay- floating swap such that the €30 million of bonds, with modified duration of 3, and the €20 million swap will combine to make up a portfolio with a market value of €30 million and modified duration of 5. This relationship can be expressed as follows:

€30,000,000(3) + (NS × MDURS) = €30,000,000(5).

Given the swap’s notional (NS) of €20,000,000, its required modified duration can be obtained as:

MDURS = [(5 – 3)€30,000,000]/€20,000,000 = 3.

请问这个是哪个知识点呀?在讲义第几页?谢谢
1 个答案
已采纳答案

xiaowan_品职助教 · 2020年10月01日

嗨,爱思考的PZer你好:


同学你好,

可以参考基础班讲义P242,截图如下


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!