在備考中對于FRM考生重要的事情是什么，那當然是對于FRM真題的練習了。考生一定要做大量的真題，這樣對于考試才是有幫助的！下面是相關例題的解析，一起了解一下！

An analyst is using the delta-normal method to determine the VAR of a fixed income portfolio. The portfolio contains a long position in 1-year bonds with a $1 million face value and a 6% coupon that is paid semiannually. The interest rates on 6- and 12-month maturity zero-coupon bonds are 2% and 2.5%, respectively. Mapping the long position to standard positions in the 6- and 12-month zeros, respectively, provides which of the following mapped positions?

A) $29,703 and $1,004,878.

B) $30,000 and $1,030,000.

C) $29,500 and $975,610.

D) $30,300 and $1,035,000.

答案：A

解析：The long position is mapped into a combination of market values of the zero-coupon bonds that provide the same cash flows:

X6=30,000/[1+(0.02/2)]=29,703

X12=1,030,000/[1+(0.025)]=1,004,878

There is a short position in 1-year bonds with a $150 million face value and a 6% annual interest rate, with interest paid semiannually. The annualized interest rate on zero-coupon bonds is 3.8% for a 6-month maturity and 4.1% for a 12-month maturity. Decompose the bond into the cash flows of the two standard instruments, and then determine the present value of the cash flows of the standard instruments. What are the present values of each cash flow?

A) PV of CF1：-$4,117,945 PV of CF2：-$139,882,651

B) PV of CF1：-$4,226,094 PV of CF2：-$143,793,919

C) PV of CF1：-$4,416,094 PV of CF2：-$148,414,986

D) PV of CF1：-$4,879,542 PV of CF2：-$144,244,783

答案：C

解析：The standard instruments are -150,000,000×(0.06/2) = -$4,500,000 for six months, and -$4,500,000 – $150,000,000 = -$154,500,000 for 12 months. The present values are -$4,500,000/1.019 = -$4,416,094 and -$154,500,000/1.041 =-$148,414,986

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