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baby jiaxi · 2021年05月14日

什么是partial pvbp

NO.PZ2019103001000056

问题如下:

Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:

Edgarton expects a steepening yield curve, with short-term yields rising by 1.00% and long-term yields rising by more than 1.00%.

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

这里涉及价格变动的公式感觉没有学过, 为什么要乘par value呢, pvbp里不是已经包含mv了吗,还有题目的表格中为什么是coupon/ytm,是指这个债券是tips或者floating rate吗, 这样的表述有点看不懂

1 个答案

pzqa015 · 2021年05月15日

嗨,爱思考的PZer你好:


Partial PVBP是Portfolio中每个时间点的pvbp,类似KRD。



coupon/ytm意思是各期限的coupon rate与ytm都是一样的,也就是平价发行的债券。



题目中pvbp是每张债券的PVBP,也就是100元对应的PVBP,乘portfolio par amount是转换成整个portfolio的pvbp,对于这道题不影响计算结果。

这道题同学只要掌握用∑partial pvbp*curve shift整个计算即可,就是把各个时间点的利率变化与各个时间点的pvbp相乘,最后求和,因为利率提高,选出portfolio value下跌最少的即可。

计算结果current portfolio=-0.116945, portfolio1=-0.119820,portfolio2=-0.114465,所以我们选择portfolio 2.

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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