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Cooljas · 2022年11月18日

为啥是考虑duration啊？还有这个公式是从哪来的呀？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000039

问题如下：

Approximately how many three-month Eurodollar futures contracts are necessary to hedge the six-month interest that will be paid on a USD 20 million bond? Assume that the six-month period starts at the maturity of the futures contract that will be used. (Ignore the differences between Eurodollar futures and FRAs mentioned in the chapter for this question.)

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解释：

The change in the value of the instrument for a 1-basis point parallel shift in the interest rate is

USD 20,000,000 x 0.5 x 0.0001 = USD 1,000

This is 40 times USD 25. It follows that 40 contracts should be shorted.



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1 个答案

pzqa27 · 2022年11月19日

嗨，从没放弃的小努力你好：


因为duration是用于衡量利率和价格变化关系的指标，这里用的是dollar duration，指利率变化1%，债券价格变动多少金额，对冲的本质就是我们找一个产品，当利率变化的时候，我们被对冲物的价格变化和对冲物的价格变化相互抵消即可，所以要考虑duration，因为我们是用duration来计算价格的变化.关于这里的公式，同学可以参考下DV01对冲这部分的内容

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