NO.PZ2017121101000006
问题如下：
The CIO of a Canadian private equity company wants to lock in the interest on a three-month “bridge” loan his firm will take out in six months to complete an LBO deal. He sells the relevant interest rate futures contracts at 98.05. In six-months’ time, he initiates the loan at 2.70% and unwinds the hedge at 97.30. The effective interest rate on the loan is:
选项：
A.0.75%.
1.95%.
2.70%.
解释：
B is correct.
The CIO sells the relevant interest rate future contracts at 98.05, locking in a forward rate of 1.95% (= 100 – 98.05). After six months, the CIO initiates the bridge loan at a rate of 2.70%, but he unwinds the hedge at the lower futures price of 97.30, thus gaining 75 bps (= 98.05 – 97.30). The effective interest rate on the loan is 1.95% (= 2.70% – 0.75%).
中文解析：一个CIO一开始签订了一个期货合约，锁定了借款利率是1.95%（100-98.05），后来他又通过签订另一个期货合约锁定了自己将钱借出去时的利率是2.7%（100-97.3），于是在这一对期货合约上，他收益是2.7%-1.95%=75bps.到了六个月的时候，这个人是在市场上以2.7%的利率借的钱（he initiates the loan at 2.7%）,所以期货头寸赚了75bps,借钱付出2.7%，等效借款利率就是1.95%了。
这道题，意思是一个人在0时刻的时候想要在6时刻借钱，又怕利率上升，所以签了一个合约，锁定了6时刻的借款利率1.95%。现在6时刻到了，她需要平仓掉这个合约，于是相当于反向再签一个借出钱的合约，这个反向对冲的价格是97.3， 相当于收到利息是2.7%。现在他又贷款了一个2.7%的，相当于要付2.7的利息。因此-。-1.95+2.7-2.7=-1.95.我这么理解对吗？
我不理解为什么这个人要签反向对冲？他直接在6时刻按照锁定的1.95利率借款3个月不就可以了吗？为什么又还要再贷款2.7%？
