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标题: 关于组合久期的计算 [打印本页]

作者: badonkus 时间: 2014-8-2 14:25 标题: 关于组合久期的计算

1.    Aportfolio consists of two positions: One position is long $100M of a two year bond priced at 101with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a durationof 4.1. What is the duration of the portfolio?
A.    0.68
B.       0.61
C.       -0.68
D.    -0.61

为何本题计算需要考虑债券价格？不是直接可以用100/50*1.7-50/50*4.1= - 0.7么，求解

作者: ap0258 时间: 2014-8-2 14:26

要算bond的market value（price*par）
10100/5150*1.7-4950/5150*4.1=3.3340-3.9408=-0.61

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