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三级冲冲 · 2022年04月25日

为什么曲线向上,价格下跌,要降低久期?

NO.PZ2021120102000004

问题如下:

An investment manager is considering decreasing portfolio duration versus a benchmark index given her expectations of an upward parallel shift in the yield curve.

If she has a choice between a callable, putable, or option-free bond with otherwise comparable characteristics, the most profitable position would be to:

选项:

A.

own the callable bond.

B.

own the putable bond.

C.

own the option-free bond.

解释:

B is correct. The value of a bond with an embedded option is equal to the sum of the value of an option-free bond plus the value to the embedded option.

With a putable bond, the embedded put option is owned by the bond investor, who can exercise the option if yields-to-maturity increase, as in this scenario.

Under A, the embedded call option is owned by the bond issuer, who is more likely to exercise if yields-to-maturity decrease (that is, the bond investor is short the call option).

As for C, the option-free bond underperforms the putable bond given the rise in value of the embedded put option.

Mac duration 对应的是reinvestment risk 还是 price risk 来着

如果上面那句话成立,那么久期应该对应price risk, 因为利率上升的时候price risk 大

评价一下理解是否正确

1 个答案
已采纳答案

pzqa015 · 2022年04月26日

嗨,爱思考的PZer你好:


根据△P/P=-MD*△y, 如果预测利率向上,那么应该降低modified duration,这样价格损失会最低。

所以,题目说预判收益率曲线平行向上,应该选择短久期的债券品种。

embedded option bond久期是短语option free bond的。

mac duration代表的是剩余到期日的加权平均值,用来衡量price risk。


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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!

Congliu828 · 2022年08月15日

短与,而不是短语

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