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ID:38521871
大小:277.00 KB
页数:16页
时间:2019-06-14
《投资学题库Chap011》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、Chapter11-ManagingBondPortfoliosCHAPTER11MANAGINGBONDPORTFOLIOS1.Durationcanbethoughtofasaweightedaverageofthe‘maturities’ofthecashflowspaidtoholdersoftheperpetuity,wheretheweightforeachcashflowisequaltothepresentvalueofthatcashflowdividedbythetotalpresentvalueofallcashflows.Forcashflowsinthedista
2、ntfuture,presentvalueapproacheszero(i.e.,theweightbecomesverysmall)sothatthesedistantcashflowshavelittleimpact,andeventually,virtuallynoimpactontheweightedaverage.2.Alowcoupon,longmaturitybondwillhavethehighestdurationandwill,therefore,producethelargestpricechangewheninterestrateschange.3.Arateant
3、icipationswapshouldwork.Thetradewouldbetolongthecorporatebondsandshortthetreasuries.Arelativegainwillberealizedwhenratespreadsreturntonormal.4.-25=-(D/1.06)x.0025x1050…solvingforD=10.095.d.6.Theincreasewillbelargerthanthedecreaseinprice.7.Whileitistruethatshort-termratesaremorevolatilethanlong-ter
4、mrates,thelongerdurationofthelonger-termbondsmakestheirratesofreturnmorevolatile.Thehigherdurationmagnifiesthesensitivitytointerest-ratesavings.Thus,itcanbetruethatratesofshort-termbondsaremorevolatile,butthepricesoflong-termbondsaremorevolatile.8.Computationofduration:a.YTM=6%(1)(2)(3)(4)(5)Timeu
5、ntilPayment(Years)PaymentPaymentDiscountedat6%WeightColumn(1)×Column(4)16056.600.05660.056626053.400.05340.106831060890.000.89002.6700ColumnSum:1000.001.00002.8334Duration=2.833years11-16Chapter11-ManagingBondPortfoliosa.YTM=10%(1)(2)(3)(4)(5)TimeuntilPayment(Years)PaymentPaymentDiscountedat10%Wei
6、ghtColumn(1)×Column(4)16054.550.06060.060626049.590.05510.110131060796.390.88442.6531ColumnSum:900.531.00002.8238Duration=2.824years,whichislessthanthedurationattheYTMof6%2.Thepercentagebondpricechangeis:–Duration´ora3.27%decline3.Computationofduration,interestrate=10%:(1)(2)(3)(4)(5)TimeuntilPaym
7、ent(Years)Payment(inmillionsofdollars)PaymentDiscountedAt10%WeightColumn(1)×Column(4)110.90910.27440.2744221.65290.49890.9977310.75130.22670.6803ColumnSum:3.31331.00001.9524Duration=1.9524years4.Thedurationofthep
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