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xujii · 2021年08月11日

SD&R负债的已知条件在哪 我怎么找不到

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

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.

SD&R负债的已知条件在哪 我怎么找不到

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弓 · 2021年10月17日

英文出题特别喜欢整这种小动作，把关键信息9写成nine。半天找不到数字，看完了想骂人。

1 个答案

pzqa015 · 2021年08月12日

嗨，努力学习的PZer你好：


同学你好，

文中有句话：在9.85%下面那一段。

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


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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