题目
Your colleague Peter is building a model that will estimate the sensitivity of your firm's bond portfolio to interest rate changes. He is evaluating six different models. Each of his candidate models shocks the rate, but each assumes a different interest rate factor as the model's core assumption. These are the six candidate interest rate factors:I Yield to maturity; aka, yieldII 2-, 5-, 10, and 30-year spot (aka, zero) ratesIII 2-, 5-, 10, and 30-year par yieldsIV Six month forward rates across the entire 30-year curveV Level and slopeVI The continuously compounded, instantaneous rate, r(t)Which of the six are usable (i.e., viable) interest rate factors?
选项
A.Only I. and VI. are usable interest rate factors
B.Only I., II. and III. are usable interest rate factors
C.Only IV, V. and VI. are usable interest rate factors
D.All six are usable interest rate factors
答案
D
解析
It is easy to forget that duration and DV01 are typically yield-based duration and yield-based DV01; i.e., they express price change as a function of yield change. Yield is a popular and common interest rate factor because it is a one-factor formulation of interest rates: the entire term structure is summarized in a single yield. But more sophisticated models are multi-factor.The characterize the term structure, and consequently the interest rate risk factors, in plural terms. In this way, we can refer to the spot rate/forward rate/par yield at 2-, 5-, 10- or, 30-years, for example.Finally, per (VI.) the continuously compounded, instantaneous rate, r(t) is an important interest rate factor.duration和DV01：价格变化表示为收益率变化的函数。收益率是一个流行的、常见的利率风险因子，因为它是一个单因素公式:整个期限结构概括为一个单一的收益率。但多因素更加复杂的。这样，我们可以参考2年期、5年期、10年期或30年期的即期汇率/远期汇率/票面收益率。连续复利、瞬时利率，r(t)是一个重要的利率风险因子。