问题 单项选择题

养老基金公司的经理每年向受益人支付期末永续年金为200万元,目前市场上所有债券的到期收益率都是16%,为了确保这笔债务的永久支付,基金经理考虑投资两种面值1000元的债券来构成免疫组合。一种是5年期债券,息票率为8%(每年付息),久期为4年;另一种是20年期,息票率为6%(每年付息),久期为11年。要使养老基金公司的债务完全免疫,则投资20年期的债券为______,需要购买______。(答案取最接近值。)

A.580.38万元,14256份
B.669.62万元,16448份
C.580.38万元,5804份
D.669.62万元,6696份

答案

参考答案:A

解析: 债务的现值=200万/16%=1250万元
永续债务的久期=(1+16%)/16%=7.25年
设组合中投资5年期债券的资金比例为w,则投资20年期债券的资金比例为(1-W)。则:4×W+11(1-W)=7.25,解得W=0.5357
投资5年期债券的资金=1250×0.5357=669.62万元
投资20年期债券的资金=1250×(1-0.5357)=580.38万元
20年期债券的价格PV(16%,20,60,1000,0)=407.12元
购买20年期,面值1000元债券的份数=5803800/407.12=14256份

阅读理解

阅读理解。

     I have a good friend. His name is Jim. Jim is an English boy. He comes to China with his parents.

They come to China to work. Jim comes here to study. He is in No. 5 Middle School.      

     He is never (从不)  late for school.  He studies hard at school. He can read and write English well.  

He can also speak a little French. He often helps us with our English, and we help him with his Chinese.

After class he likes playing football, swimming and running. He makes many friends here. We are glad to

stay with him.

     On weekends he often helps his mother clean the house, do some housework or do some shopping.

He likes living here. He thinks Chinese food is very good. He likes Chinese students very much. We all

like him, too.

1. Where is Jim from?         

A. France.                      

B. China.         

C. The UK.                     

D. The US.

2. Why do Jim's parents come to China?         

A. Because they want to study.         

B. Because they come to China to work.         

C. Because China is interesting.         

D. Because they like Chinese food.

3. Jim is good at _____.       

A. Chinese                      

B. English         

C. French                      

D. math

4. What doesn't Jim often do on weekends?         

A. Help his mother clean the house.         

B. Do some housework.         

C. Play computer games.         

D. Do some shopping.

5. Which of the following is NOT right?        

A. Jim often helps his mother.         

B. Jim likes Chinese food.

C. Jim is a popular student.

D. Jim doesn't like going shopping.

填空题