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Sam · 2022年12月03日

为什么不可以直接算bond future bpv

  1. CFA III
  2. Derivative

NO.PZ2018113001000075

问题如下：

Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US Treasuries。Matthew intends to fully hedge this bond portfolio against a rise in interest rates。

Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.


Based on Exhibit 1, the number of Treasury futures contracts Matthew should sell to fully hedge Portfolio W is closest to:

选项：

A.

652

B.

651

C.

745

解释：

B is correct

BPVHR=BPVT−BPVPBPVCTD×CF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33

Matthew should sell 651 Treasury bond futures contracts.

中文解析：

本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。

bond future bpv 不是应该是 1.432*100000*9*1bp吗，为什么算出Nf 跟答案不一样的。谢谢老师

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1 个答案

Hertz_品职助教 · 2022年12月05日

嗨，从没放弃的小努力你好：


同学你好

表格左侧的“futures contract and CTD Bond”的数据，它其实就是CTD bond对应的期货信息，只是这里的表述可能有些歧义。

同学可以看下1.432*100000*9*1bp计算结果就是128.88。因此这一步计算的其实就是CTD的BPV（下面公式红线圈出来的部分），而这个数据信息题干表格中已经给到了，因此把这个数据代入后还是需要在最后乘以转换因子的，这样计算是没有问题的哈。

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