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Vivien · 2021年03月06日

题干条件没有用到?

NO.PZ2018123101000091

问题如下:

Note: Each bond has a remaining maturity of three years, annual coupon payments, and a credit rating of BBB.

Bianchi constructs binomial interest rate tree based on a 10% interest rate volatility assumption and a current one-year rate of 1%. Panel A of Exhibit 2 provides an interest rate tree assuming the benchmark yield curve shifts down by 30 bps. Panel B provides an interest rate tree assuming the benchmark yield curve shifts up by 30 bps.

Bianchi determines that the AI bond is currently trading at an option-adjusted spread (OAS) of 13.95 bps relative to the benchmark yield curve.

Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:

选项:

A.

1.98.

B.

2.15

C.

2.73

解释:

B is correct.

考点:考察Effective duration的计算

解析:

本题的计算比较多,需要利用利率向上平移的二叉树计算出PV(+),并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。

利率向下平移30 bps,债券价格 (PV – ) 为100.78.

利率向上平移30 bps,债券价格(PV+) 为99.487.

利用Effective duration公式有:

ED=(PV)(PV+)2×(ΔCurve)×(PV0)=100.78099.4872×0.003×100.200=2.15ED=\frac{(PV_-)-(PV_+)}{2\times(\Delta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15

Bianchi determines that the AI bond is currently trading at an option-adjusted spread (OAS) of 13.95 bps relative to the benchmark yield curve。

老师这道题这个是不是没有用到呀?

1 个答案

WallE_品职答疑助手 · 2021年03月06日

嗨,努力学习的PZer你好:


用到了哈,

您仔细看答案里面的二叉树,它的折现率相对于图标2中的二叉树都加上了13.95bp。 比如7.0037%+13.95 bps=7.1432%

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2018123101000091 问题如下 Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15 C.2.73 B is correct.考点考察Effective ration的计算解析本题的计算比较多,需要利用利率向上平移的二叉树计算出PV(+),并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps,债券价格 (PV – ) 为100.78.利率向上平移30 bps,债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0​)(PV−​)−(PV+​)​=2×0.003×100.200100.780−99.487​=2.15 如题

2024-09-05 22:20 1 · 回答

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