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Lynn · 2021年10月10日

cashflow yield

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NO.PZ201812020100000303

问题如下:

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项:

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释:

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

麻烦解释一下cashflow yield ,以及什么时候会用到cashflow yield来判断

1 个答案
已采纳答案

pzqa015 · 2021年10月13日

嗨,从没放弃的小努力你好:


Cash flow yield 是portfolio的YTM,把portoflio中各只债券的价格求和作为portfolio价格,把portfolio各期限的现金流之和作为coupon,根据几个等于未来现金流折现公式:P=∑coupon/(1+discount rate),能够满足这个等式成立的discount rate就是cash flow yield。

cash flow yield是用来计算portfolio duration的,在判断免疫条件时,用不到cash flow yield这个概念。

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