本次美国代写主要为固定收入相关的Homework练习题
固定收入
1. 使用您的 UIN 的最后 2 位数字，通过将 0.04 添加到除以的最后 2 位数字来创建您的收益
按 10000（例如：如果最后 2 位数字是 26，则 y = 0:04 + 26=10000 = 0:0426）。创造
通过将最后 2 位数字除以 100 并加上 3.8 来获得您的优惠券（示例继续：
26=100 + 3:8 = 4:06）。现在，使用您唯一的息票和收益率，假设您的债券有 28
年到期并支付半年票息（假设结算日是票息日）。回答
以下问题：
(a) (1) 债券的价格是多少？
(b) (1) 修改的持续时间是多少？
(c) (1) 凸度测度是什么？
(d) (1) 每百万美元的 DV01 是多少？
(e) 现在考虑 2 种情况：所需收益率上升 150 个基点，所需收益率下降 150
基点。
(a) (2) 仅使用久期，当收益率上升 150 个基点时的预测价格是多少？
他们下降了 150 个基点？
(b) (2) 同时使用久期和凸度测度，预测价格是多少？
收益率上升 150 个基点，何时下降 150 个基点？
(c) (2) 如果利率上升，2000 万美元面额的实际盈亏是多少？
并下降 150 个基点？ （注意：您将计算实际价格变化
场景。）
2. 对冲：假设您有一个债券投资组合，其面值为 DVport 的 PortF 和 DV01 以及
希望通过卖空另一只股票与 DVhedge 的 DV01 来对冲利率风险。你
将出售以下面额的要进行久期对冲的对冲证券：
PortF DVport + X DVhedge = 0
=) PortF DVport = X DVhedge =) X = PortF DVport
DVhedge
(a) (投资组合经理购买了一张 JNJ 债券的 B 百万面，并希望用
目前的 20 年期国债。您可以通过添加最后 2 个来确定 B
您的 UIN 的数字为 150（例如：最后 2 位数字是 26，所以 B 是 1.76 亿）。
债券规格
规格 JNJ 债券 20 年期国债
到期日 05/15/2041 05/15/2041
优惠券 4.85% 2 1 = 4%
支付频率 半年 半年
收益率 2.66% 2.04%
结算日期 06/30/2021 06/29/2021
日计数公约 30/360 法案/法案
需要卖出多少国债才能使持仓久期
中性的？
使用 FixedIncomeFn 函数来回答问题。
Fixed Income
1. Using the last 2 digits of your UIN, create your yield by adding 0.04 to the last 2 digits divided
by 10000 (example: if last 2 digits are 26, then y = 0:04 + 26=10000 = 0:0426). Create
your coupon by dividing the last 2 digits by 100 and adding 3.8 to it (example continued:
26=100 + 3:8 = 4:06). Now, using your unique coupon and yield, assume your bond has 28
years to maturity and pays a semiannual coupon (assume settle date is a coupon date). Answer
the following questions:
(a) (1) What is the price of the bond?
(b) (1) What is the modi ed duration?
(c) (1) What is the convexity measure?
(d) (1) What is the DV01 per million dollars?
(e) Now consider 2 scenarios: The required yield rises 150 bps and the required yield falls 150
bps.
(a) (2) Using just duration, what is the predicted price when yields rise 150 bps and when
they fall 150 bps?
(b) (2) Using both duration and the convexity measure, what is the predicted price when
yields rise 150 bps and when they fall 150 bps?
(c) (2) What are the actual P/Ls that would be realized on $20 million of face if rates rise
and fall by 150 bps? (Note: You will compute the actual price change in the
scenarios.)
2. Hedging: Suppose you have a bond portfolio with face value PortF and DV01 of DVport and
wish to hedge interest rate risk by selling short another security with DV01 of DVhedge. You
will sell the following face amount of the hedging security to be duration hedged:
PortF DVport + X DVhedge = 0
=) PortF DVport = X DVhedge =) X = PortF DVport
DVhedge
(a) ( A portfolio manager purchases B million face of a JNJ bond and wishes to hedge it with
the current 20-year on-the-run Treasury bond. You determine B by adding the last 2
digits of your UIN to 150 (example: last 2 digits is 26, so B is 176 million).
Bond Speci cations
Speci cation JNJ Bond 20-Year Treasury
Maturity 05/15/2041 05/15/2041
Coupon 4.85% 2 1 = 4%
Payment Frequency semi-annual semi-annual
Yield 2.66% 2.04%
Settlement Date 06/30/2021 06/29/2021
Day Count Convention 30/360 act/act
How much of the Treasury bond is required to be sold short to make the postion duration
neutral?
Use the FixedIncomeFn functions to answer the question.