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Serein · 2022年12月03日

为什么benchmark是0.01？

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000118

问题如下：

A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:

The effective duration of the pension fund’s liabilities is closest to:

选项：

A.

1.49.

B.

14.99.

C.

29.97.

解释：

B is correct.

The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:

EffDur=(PV−)−(PV+)2×(ΔCurve)×(PV0)EffDur=\frac{(PV-)-(PV+)}{2\times(\Delta Curve)\times(PV0)}

PV0= 455.4, PV+= 373.6, PV-= 510.1, and ΔCurve = 0.0100

EffDur=510.1−373.62×0.0100×455.4=14.99EffDur=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99

考点：effective duration

解析：需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得：PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective duration为14.99，故选项B正确。

请翻译题目中对应curve变动率为0.01的句子

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1 个答案

吴昊_品职助教 · 2022年12月04日

嗨，努力学习的PZer你好：


a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%.

基准利率是7%，在此基础上增加100个bp上升至8%，下降100bp至6%。100bp=1%=0.01

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NO.PZ2016031001000118 问题如下 A Canapension funmanager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager termines the present value of the liabilities unr three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, ana 100 basis point op in rates wn to 6%. The results of the manager’s analysis are presentebelow:The effective ration of the pension funs liabilities is closest to: A.1.49. B.14.99. C.29.97. B is correct.The effective ration of the pension funs liabilities is closest to 14.99. The effective ration is calculatefollows:Effr=(PV−)−(PV+)2×(ΔCurve)×(PV0)Effr=\frac{(PV-)-(PV+)}{2\times(\lta Curve)\times(PV0)}Effr=2×(ΔCurve)×(PV0)(PV−)−(PV+)​PV0= 455.4, PV+= 373.6, PV-= 510.1, anΔCurve = 0.0100Effr=510.1−373.62×0.0100×455.4=14.99Effr=\frac{510.1-373.6}{2\times0.0100\times455.4}=14.99Effr=2×0.0100×455.4510.1−373.6​=14.99考点effective ration解析需分别求出，由于利率下降100bps的债券价格V-，和由于利率上升100bps的债券价格V+。故而求得PV+= 373.6, PV- = 510.1，后代入上述公式即可得到effective ration为14.99，故B正确。 我看之前有一道题就是只计算向上+1个bp计算出P+然后和P0做差直接算出来结果，那这道题可以用同样的方法计算吗？

2023-05-26 10:49 1 · 回答

为什么ΔCurve = 0.0100？分母还要乘以2？

2020-01-14 14:16 1 · 回答

effective ration指的是啥呢？？？？？

2019-08-21 19:25 1 · 回答