标题: CFAI Two Bond Hedge Q [打印本页] 作者: sharksfan 时间: 2013-4-1 14:35 标题: CFAI Two Bond Hedge Q
CFAI V4 P 189 Q6
For Increase in yield and drease in yield calculation, I have slightly different answers for both 2 Yr and 10 Yr bonds. For example, for 2 y increase in yield, I get 106.122/106.65 = -0.4951%, but CFAI has -0.528%.
Not sure why there is a minor difference. I know its small, but it kind bothrers me because this is a straight forward calcuation.作者: kingstongal 时间: 2013-4-1 14:36
its not the % change you want. You want the absolute change -106.122-106.65 = -.528
You would do the same for the 10 year - 109.25 - 111.19= - 1.94
You would do the same for the MBS - 97.955 - 100 = - 2.045
Do the same for the Increases, and you get .65, 2.41 and 1.1 for the 2 yr, 10 yr and MBS.
Then take the absolute value averages = example for 2 yr: ( .528+.65 ) /2 = .589
You get 2.175 for the 10 year and 1.573 for the MBS.
Your first equation is now: .589 H2 + 2.175 H10 = 1.573作者: neil1234 时间: 2013-4-1 14:36
no, you actually would have -1.573 above. .589 H2 + 2.175 H10 = -1.573 since you have to have a - in front of MBS change
and despite what the curriculum says, you can compute the averages without using absolute values if you’re careful…作者: bodhisattva 时间: 2013-4-1 14:36
