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littlebabyfats · 2021年11月20日

Match的是什么Duration

  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.


之前老师回答过别人的问题，我在这里还有一个多小疑问，如果是Match Multiple Liability，也是Match Macaulay Duration吗？关于Match Duration 究竟要Match Macaulay Duration还是Match effective duration我有点记不清了，麻烦老师帮忙解答，谢谢！

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littlebabyfats · 2021年11月20日

提问有变，请以这个为准：之前老师回答过别人的问题，我在这里还有一个多小疑问，如果是Match Multiple Liability，也是Match Macaulay Duration吗？关于Match Duration 究竟要Match Macaulay Duration还是Match effective duration还是Match modified duration，我有点记不清了，麻烦老师帮忙解答，谢谢！

梁 · 2022年02月26日

为什么不选4 首先single的话 duration asset 至少能cover liabili的话9.1 跟适合啊 其次 选最小的converxity的话 4也更加适合求老师指点

2 个答案

pzqa015 · 2022年02月27日

嗨，爱思考的PZer你好：


4的确是最合适的，但是答案让从1、2、3中选。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2021年11月20日

嗨，努力学习的PZer你好：


如果是Match Multiple Liability，也是Match Macaulay Duration吗？

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只有单笔现金流负债match的是mac D


多笔现金流负债，match的是BPV，它是根据mod或者ed来计算的，具体就是BPV=-MV*MD(ED)*1BP。

当然，mod D与mac D本身也是有关系的，mod D=mac D/(1+y)，但我们三级一般不会考二者的关系，这是一级的内容。

只需记住单笔负债match mac D，多笔负债match由mod D计算的BPV即可。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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