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Luhunlu · 2021年10月17日

老师,这道题不用考虑权重吗?

* 问题详情,请 查看题干

NO.PZ201701230200000307

问题如下:

7. Based on Exhibit 1, the results of Analysis 2 should show the yield on the five-year bond:

选项:

A.

decreasing by 0.8315%.

B.

decreasing by 0.0389%.

C.

increasing by 0.0389%.

解释:

C is correct.

Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a one standard deviation decrease in both the level factor and the curvature factor will lead to the yield on the five-year bond increasing by 0.0389%, calculated as follows:

Change in five-year bond yield = 0.4352% - 0.3963% = 0.0389%.

老师,请问什么情况下需要考虑权重啊,计算价格变化的那个公式是考虑了权重后的加权平均数,为什么这道题不用加权呢?

谢谢老师啦!

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年10月18日

嗨,爱思考的PZer你好:


题目如果告诉你 哪一年投了%多少的时候 或者占比多少的时候才需要加权,这种就不用。

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努力的时光都是限量版,加油!

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NO.PZ201701230200000307 题干中表格level数值为负的,是one viation increase的数据;而算出来的结果为正的0.0389,所以应该是相反 变成crease?谢谢老师。

2021-10-03 02:34 1 · 回答