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贝就要贝到底 · 2021年04月26日

请问一下

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000026

问题如下：

Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

为什么不能直接看average time to maturity而要看Macaulay duration？

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已采纳答案

发亮_品职助教 · 2021年04月28日

嗨，爱思考的PZer你好：


为什么不能直接看average time to maturity而要看Macaulay duration？


不能看，在Match single liability时，题目可能会给很多Duration的信息，其他的都是干扰项，只能看Macaulay duration哈。这点是匹配单期负债的条件，一定会考的，需要记住。


为什么单期负债匹配只能看Macaulay duration，这个解释起来会有点复杂，也不属于考点，记住匹配时的条件即可。原因解释可以参考基础班课程Reading 19中如下红框的内容，老师有详细的解释：




或者可以参考我之间在有问必答的回复，有问题的话可以再追问：


https://class.pzacademy.com/qa/73901

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发亮_品职助教 · 2021年04月29日

嗨，从没放弃的小努力你好：


1. 在match single liability的时候需要用Macaulay Duration，再加一个，match Multiple liabilities时用Money duration（BPV/PVBP）


2. 在计算yield change带来的price change时需要用Effective Duration，补充一下Modified duration也可以用。如果题目只给了一个Duration，那给哪个用哪个。如果Modified duration与Effective duration都给了，如果是含权债券、或者浮动利率债券只能用Effective duration，不含权固定利率债券可以用Effective duration，也可以用Modified duration。


3. HYB的empirical duration，HYB与Investment-grade bond的Empirical duration < 自己的Effective duration，但HYB会更加明显。

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NO.PZ2019103001000026问题如下Mowery informs Compton thC ha single $500 million liability e in nine years, anshe wants SR to construa bonportfolio thearns a rate of return sufficient to poff the obligation.Compton provis the four US llar–nominatebonportfolios in Exhibit 1 for consiration. Compton explains ththe portfolios consist of non-callable, investment-gra corporate angovernment bon of various maturities because zero-coupon bon are unavailable.Baseon Exhibit 1, whiof the portfolios will best immunize SR’s single liability? A.Portfolio 1 B.Portfolio 2 C.Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.想问一下啥事market value weight artion? macaulartion不就是用市场价值加权的ration吗?

2022-03-27 17:11 1 · 回答

NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 因为4在Macauley ration和2一样接近，且4convexity更小，是不是match效果更好？

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NO.PZ2019103001000026 请问选择的时候是不是一定要选择MACAULRATION大于PORTFOLIO的，本题也就是要大于9年

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NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 该题我们有两个方法1.ration matching，看Mration与li投资期9年是否一致；2.当用Cash flow matching时，是不是就看asset端maturity与liab投资期是否一致就行？

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NO.PZ2019103001000026 老师，single liability 要matmacaulration, 那R18基础讲义15页matching条件asset portfolio's ration=liability portfolio's ration里的ration是指的哪种ration？

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