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兜儿里有糖_wyz · 2021年08月23日

map为零息债，是分别map为一个半年期的，一个一年期的？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000042

问题如下：

An analyst is using the delta-normal method to determine the VaR of a fixed income portfolio. The portfolio contains a long position in 1-year bonds with a $1 million face value and a 6% coupon that is paid semi-annually. The interest rates on six-month and twelve-month maturity zero-coupon bonds are, respectively, 2% and 2.5%. Mapping the long position to standard positions in the six-month and twelve-month zeros, respectively, provides which of the following mapped positions?

选项：

A.

$30,000 and 1,030,000

B.

$29,500 and 975,610

C.

$29,703 and 1,004,878

D.

$30,300 and 1,035,000

解释：

C is correct.

考点 ： Mapping to Fixed Income Portfolios

解析 ： The long position is mapped into a combination of market values of the zero-coupon bonds that provide the same cash flows:

Xsix=300001+0.02/2=29703X_{six}=\frac{30000}{1+0.02/2}=29703

Xtwelve=10300001+0.025=1004878X_{twelve}=\frac{1030000}{1+0.025}=1004878

6个月的年利率是2%，12个月的年利率是2.25%，当map为零息债折现时，是怎么选择折现率的？老师能否讲得详细一点，谢谢！一级学习的，确实都忘记了。

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1 个答案

李坏_品职助教 · 2021年08月24日

嗨，从没放弃的小努力你好：


题干里提供的6个月和12个月到期的零息债券的interest rate分别是2%，2.5%。这里按照题干的信息做mapping即可。


注意6个月要把2%除以2，因为题目给的都是年化的利率。

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