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徐威廉 · 2021年07月26日

关于duration matching

  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.

该题我们有两个方法1.duration matching，看Mac Duration与liab 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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pzqa015 · 2021年07月27日

嗨，爱思考的PZer你好：


该题我们有两个方法1.duration matching，看Mac Duration与liab 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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同学你好，你说的第一个方法是正确的，duration matching就看portfolio的mac D与负债到期日（investment horizon）是否一致。但是第二个cash flow matching的方法，投资期一致只是其中的一个条件，除了投资期一致，我们要具体从后向前计算每一期的asset CF能否cover liab CF的，这个过程是很复杂的。

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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？

2022-02-07 00:53 1 · 回答

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

2021-12-30 12:05 1 · 回答

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？

2021-06-08 15:54 1 · 回答