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徐威廉 · 2023年02月13日

原文中哪里说了可以over hedge?

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NO.PZ202209060200004002

问题如下:

The most appropriate action given Puhuyesva’s views on interest rates and the information in Exhibit 1 would be to buy:

选项:

A.492 contracts. B.614 contracts. C.552 contracts.

解释:

Solution

B is correct.

The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by

Nf = (BPV liability - BPV asset) / Futures BPV

where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively).

In this case, Nf = (299,860243,376) / 102.30 =+552.1, where the plus sign indicates a long position in or buying 552 futures contracts.

Because the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. Therefore, more than 552 contracts should be bought.

A is incorrect because buying 492 contracts would leave the duration of assets lower than the duration of liabilities and the surplus would decrease if interest rates fall.

C is incorrect because buying 552 contracts would fully immunize the surplus and it would neither increase nor decrease if interest rates fall.

the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. 

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pzqa015 · 2023年02月13日

嗨,从没放弃的小努力你好:


Puhuyesva believes interest rates will fall over the next three months and wants to position the asset portfolio accordingly.

由于预期收益率曲线下降,所以应该让hedge后的BPV of asset+BPV of fotures>BPV of liabilities。这样资产端的value上涨的才会比负债端更多。

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徐威廉 · 2023年02月14日

好牵强

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