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小米 · 2021年05月07日

partial PVBP是什么

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000806

问题如下：

Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?

选项：

A.

Current Portfolio

B.

Pro Forma Portfolio 1

C.

Pro Forma Portfolio 2

解释：

C is correct.

Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:

Predicted change = Portfolio par amount × partial PVBP × (curve shift in bps)/100

partial PVBP是什么

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1 个答案

发亮_品职助教 · 2021年05月08日

嗨，努力学习的PZer你好：


partial PVBP是什么


Partial PVBP衡量的是单个利率点位变动时，组合的价值变动多少元钱。

例如，这道题的Current portfolio，他的1-Year partial PVBP是0.0020。

那他代表的意思就是，1-year的利率变动1bp时，每面值为100的Current portfolio，他的价值变动0.0020元。


Partial PVBP与Key rate duration是相似的概念，衡量都是某一个特定利率点位变动对债券的影响；只不过Key rate duration衡量的是利率改变时，债券价格的变动幅度，而Partial PVBP衡量的是利率改变时，债券价格变动的金额。Key rate duration与Partial PVBP都可以衡量非平行移动对债券的影响。

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努力的时光都是限量版，加油！

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