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陈喵喵 · 2022年02月13日

没有看懂答案，feature 2为什么错?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000105

问题如下：

Is Perreaux correct with respect to key features of cash flow matching?

选项：

A.

Yes.

B.

No, only Feature 1 is correct.

C.

No, only Feature 2 is correct.

解释：

B is correct.

Cash flow matching has no yield curve or interest rate assumptions. With this immunization approach, cash flows come from coupon and principal repayments that are expected to match and offset liability cash flows. Because bond cash inflows are scheduled to coincide with liability cash payouts, there is no need for reinvestment of cash flows. Thus, cash flow matching is not affected by interest rate movements. Cash flows coming from coupons and liquidating bond portfolio positions is a key feature of a duration-matching approach.

答案中写“Cash flow matching has no yield curve or interest rate assumptions. With this immunization approach, cash flows come from coupon and principal repayments that are expected to match and offset liability cash flows. Because bond cash inflows are scheduled to coincide with liability cash payouts, there is no need for reinvestment of cash flows. Thus, cash flow matching is not affected by interest rate movements. Cash flows coming from coupons and liquidating bond portfolio positions is a key feature of a duration-matching approach.”


但是feature 2里也没说Cash flows coming from coupons and liquidating bond portfolio啊？看了其他同学的提问也没理解，麻烦老师再给解释一下。谢谢！

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已采纳答案

pzqa015 · 2022年02月13日

嗨，爱思考的PZer你好：



cash flow matching的现金流来自于coupon以及principals（本金），而feature2 说cash flow matching的现金流来自coupon以及liquidating bond portfolio。liquidating bond portfolio是指提前卖出债券，获得卖出债券的价格，不一定是principal，所以feature2表达错了。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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