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Pina · 2022年06月22日

market valued weighted duration

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000026

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

Molly provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Molly explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.


Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Bond portfolio 1

B.

Bond portfolio 2

C.

Bond portfolio 3

解释：

Correct Answer: B

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.

老师好， 什么是market valued weighted duration ,就是指maucalay duration 吗？谢谢。

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pzqa015 · 2022年06月22日

嗨，爱思考的PZer你好：


market valued weighted duration=∑mac D。是portfolio中每只债券mac D的加权平均。并不是portfolio的Mac duration。

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