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SUN · 2019年11月23日

问一道题：NO.PZ2019103001000026

  1. CFA III
  2. Fixed Income

问题如下：

Mowery informs Compton 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.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton 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.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

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.

market value weighted duration是什么？

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发亮_品职助教 · 2019年11月24日

嗨，爱思考的PZer你好：


他这个是一个Portfolio，然后Portfolio的Duration数据是各个成份债券的加权平均；

其中权重是各个成份债券的Market value占比；

例如，Portfolio由2只债券，A的Market value=100，Duration=5；B的Market value=150，duration=20；

所以Portfolio的Duration为：

A债券的权重100/(100+150)=0.4；B债券的权重为：150/（100+150）=0.6

所以组合的Duration为：0.4×5+0.6×20


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