b*****l
发帖数: 85 | 1 请问如果一个 fixed income 的 portfolio 含有一个一般的 bond的portfolio 和 一
个interest swap的portfolio。 已知 bond portfolio 的 market value and
duration, interest swap portfolio 的 market value，notional value和duration
也已知，这种情况怎么算 weighted average of total portfolio 的 duration？ 对
于interest swap，如果也用market value 好像underestimate interest swap的
exposure。有人说用market value+notional value，直觉上觉得说不通，这样不就
double count 了吗？但那个说的人很firm，好像是industry standard一样。有人能给
讲讲吗？ 先谢谢了！ | c*******t
发帖数: 123 | 2 我也是小白。我今天才看了john hull interest swap这一章。 说一点我的看法：
interest rate swap can be recognized as a linear combination of two bonds,
one is long, and another is short.
so the total duration of the bond portfolio and the interest rate swap is
nothing more than the linear combination of three bonds.
When you caculate the weight factor of bond duration you use the present
value of the bond, i.e the market price,
so it make sense to use the market price of the interest swap as the weight
factor, which is just the net market value of the two underline bonds
simulating the interest swap.
One may think the market value of interest swap might be too small as a
weight factor for the swap, but since the duration can be negative, and the
swap just reflects the fact that the positive duration of the long bond and
the negative duration of the short bond.
duration
【在 b*****l 的大作中提到】
: 请问如果一个 fixed income 的 portfolio 含有一个一般的 bond的portfolio 和 一
: 个interest swap的portfolio。 已知 bond portfolio 的 market value and
: duration, interest swap portfolio 的 market value，notional value和duration
: 也已知，这种情况怎么算 weighted average of total portfolio 的 duration？ 对
: 于interest swap，如果也用market value 好像underestimate interest swap的
: exposure。有人说用market value+notional value，直觉上觉得说不通，这样不就
: double count 了吗？但那个说的人很firm，好像是industry standard一样。有人能给
: 讲讲吗？ 先谢谢了！
| b*****l
发帖数: 85 | 3 谢谢回复。 john hull 主要讨论的是定价吧。不知道做ALM的一般怎么practice? 做
stress testing 的会考虑 notional value 和 duration of underlying 吗？
weight
【在 c*******t 的大作中提到】
: 我也是小白。我今天才看了john hull interest swap这一章。 说一点我的看法：
: interest rate swap can be recognized as a linear combination of two bonds,
: one is long, and another is short.
: so the total duration of the bond portfolio and the interest rate swap is
: nothing more than the linear combination of three bonds.
: When you caculate the weight factor of bond duration you use the present
: value of the bond, i.e the market price,
: so it make sense to use the market price of the interest swap as the weight
: factor, which is just the net market value of the two underline bonds
: simulating the interest swap.
|
|
