王楚溪 · 2021年11月10日
NO.PZ2019070101000092
问题如下：
The table provides relevant information about four bonds in a portfolio, based on the table, the price value of a basis point for this portfolio is close to?
选项：
A.$65,341.15.
B.$77,518.65.
C.$73,124.38.
D.$72,647.90.
解释：
D is correct
考点：Bond Duration-DV01
解析：
effective duration=7.54
x 0.0001 x 96.35×1000000 = $72,647.9
请问是modified duration还是effective duration？
NO.PZ2019070101000092问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the privalue of a basis point for this portfolio is close to? A.$65,341.15.B.$77,518.65.C.$73,124.38.$72,647.90. is correct考点Bonration-01解析首先求组合的Effective rationportfolio价格=sum（面值权重*价格）=0.25×105+0.25×100+0.2×95+0.3×87=96.35易错点要用权重×市值（也就是价格），千万不是权重×面值portfolio effective ration=sum（面值权重*portfolio价格*effective ration）/portfolio的债券总价值=(0.25×105×8+0.25×100×8.5+0.2×95×2+0.3×87×10.2)/96.36=7.54易错点题目中的债券涉及含权，所以要用各自的effective ration来计算其次求the privalue of a basis point=portfolio effective ration*1bp*portfolio价格*1000000=7.54 x 0.0001 x 96.35×1000000 = $72,647.9 可以算出每个债券的价格变动再用0.25，0.25，0.2，0.3加权，最后乘1000000吗（100万除100）
NO.PZ2019070101000092问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the privalue of a basis point for this portfolio is close to? A.$65,341.15. B.$77,518.65. C.$73,124.38. $72,647.90.is correct考点Bonration-01解析effective ration=7.54BPV=7.54 x 0.0001 x 96.35×1000000 = $72,647.9为什么组合的bonvalue=96.35×1000000？为什么不是每个bonpar*bonprice求和？
NO.PZ2019070101000092问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the privalue of a basis point for this portfolio is close to?A.$65,341.15.B.$77,518.65.C.$73,124.38.$72,647.90.is correct考点Bonration-01解析effective ration=7.54BPV=7.54 x 0.0001 x 96.35×1000000 = $72,647.9effective ration怎么算出来的
NO.PZ2019070101000092 这道题为什么不考虑convexity呢
