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本帖最后由 cashking 于 2015-6-3 09:05 编辑
该答案是乱写。我认为正确解答应当是这样：
the cash flow of the inverse floater can be replicated by a portfolio that:
1, longs 300 million 5-year fixed-rate bond, coupon rate 6%;
2, shorts 200 million 5-year floating-rate bond, coupon rate equals libor.
It is simple to show that the net interst cash flow of the portfolio is 300m*6%-200m*libor=100m*(18%-2*libor), which equals the coupon of the inverse floater, and the priciple cash flow of the portfolio is 300m-200m=100m, which equals the principle of the inverse floater.
Therefore, the inverse floater's duration shall equal the portfolio duration, which is the weighted average of the component durations:
D=4.5*(300/(300-200))+0*(-200/(300-200))=4.5*3+0*(-2)=13.5
By linear approximation, the 95% VaR of the inverse floater is
1.65*0.66%*13.5*100m=14.7m |
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发表于 2015-6-1 17:55
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