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ROAD · 2020年01月12日

问一道题:NO.PZ2019103001000024

问题如下:

To illustrate SD&R’s immunization approach for controlling portfolio interest rate risk, Compton discusses a hypothetical portfolio composed of two non-callable, investment-grade bonds. The portfolio has a weighted average yield-to-maturity of 9.55%, a weighted average coupon rate of 10.25%, and a cash flow yield of 9.85%.

The two-bond hypothetical portfolio’s immunization goal is to lock in a rate of return equal to:

选项:

A.

9.55%.

B.

9.85%.

C.

10.25%

解释:

B is correct.

Immunization is the process of structuring and managing a fixed-income portfolio to minimize the variance in the realized rate of return and to lock in the cash flow yield (internal rate of return) on the portfolio, which in this case is 9.85%.

请老师略微指点一下 two-bond hypothetical portfolio’s immunization 的内容

1 个答案

发亮_品职助教 · 2020年01月12日

嗨,爱思考的PZer你好:


“ two-bond hypothetical portfolio’s immunization 的内容”


这个其实都不算是考点,就是对这道题情况的一种描述。

他是这样,这道题他是构建了一个Portfolio,Portfolio里有两支债券构成,然后用这样的Portfolio来匹配负债。

题干描述的:Two-bond hypothetical portfolio's immunization,就是描述的这种由两支债券构成的Portfolio来做匹配负债策略。



我们做匹配负债(Immunization)时,只需满足匹配的条件即可,不用管Portfolio里面有多少支债券构成。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!