公式为什么多乘一个p

NO.PZ2016082402000006

问题如下：

A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?

选项：

USD -2,046,875

USD -2,187,500

USD -1,953,125

USD -1,906,250

解释：

ANSWER: C

The change in price is given by $\;\bigtriangleup P=-{\lbrack D\ast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbrack C\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times$ ${(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.$

The fomular should be:△P=−[D∗×P](△y)+1/2[C×CONVESITY ](△y)2,

right?

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1 个答案

李坏_品职助教 · 2022年04月28日

嗨，努力学习的PZer你好：

你是说右边[]里面的两个P ？这个没有多乘，确实是要有P的。这个公式要用到二级学的内容了，稍微有些超纲。可以参考二级讲义P143：

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2016082402000006 A portfolio manager ha bonposition worth US100 million. The position ha mofieration of eight years ana convexity of 150 years. Assume ththe term structure is flat. how mues the value of the position change if interest rates increase 25 basis points? US-2,046,875 US-2,187,500 US-1,953,125 US-1,906,250 ANSWER: C The change in priis given △P=−[×P](△y)+12[C×P](△y)2=−(8×100)×\;\bigtriangleup P=-{\lbraast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbraC\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times△P=−[×P](△y)+21[C×P](△y)2=−(8×100)× (0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125.{(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.(0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125. 请问求出来-1.953125之后，怎么得出来A

2022-02-25 13:55 2 · 回答

NO.PZ2016082402000006 US-2,187,500 US-1,953,125 US-1,906,250 ANSWER: C The change in priis given △P=−[×P](△y)+12[C×P](△y)2=−(8×100)×\;\bigtriangleup P=-{\lbraast\times P\rbrack}{(\bigtriangleup y)}+\frac12{\lbraC\times P\rbrack}{(\bigtriangleup y)}^2=-{(8\times100)}\times△P=−[×P](△y)+21[C×P](△y)2=−(8×100)× (0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125.{(0.0025)}+0.5{(150\times100)}\times{(0.0025)}^2=-2.000000+0.046875=-1.953125.(0.0025)+0.5(150×100)×(0.0025)2=−2.000000+0.046875=−1.953125.用的2021年教材；没找到公式啊！公式在教材哪页？

2021-09-08 23:42 1 · 回答

这道题为什么要强调term structure is flat, 如果不是会有什么影响吗，这个条件的作用我没能想到

2019-10-12 15:51 3 · 回答

不懂，这是哪个知识点

2019-08-03 14:13 2 · 回答

公式为什么多乘一个p

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