NO.PZ2017121101000012
问题如下：
A $30 million investment account of a bank trust fund is allocated one- third to stocks and two-thirds to bonds. The portfolio manager wants to change the overall allocation to 50% stock and 50% bonds and the allocation within the stock fund from 70% domestic stock and 30% foreign stock to 60% domestic and 40% foreign. The bond allocation will remain entirely invested in domestic corporate issues.
Explain how swaps can be used to implement this adjustment. The market reference rate is assumed to be flat for all swaps, and you do not need to refer to specific stock and bond indexes.
选项：
解释：
Currently the allocation is $10 million in stocks and $20 million in bonds. Within the stock category, the current allocation is $7 million domestic and $3 million foreign. The desired allocation is $15 million in stocks and $15 million in bonds. Thus, the allocation must change by moving $5 million into stocks and out of bonds. The desired stock allocation is $9 million domestic and $6 million foreign. The desired bond allocation is $15 million, all domestic corporate.
To make the changes with swaps, the manager must enter into swaps against the market reference rate, which is assumed to be flat for all swaps in this example. Using the swaps, the bank trust fund portfolio manager needs to (1) receive the returns on $2 million based on a domestic equity index and on $3 million based on a foreign equity index and (2) pay the return on $5 million based on a domestic corporate bond index. The market reference rate outflows from the swaps in (1) and the inflows from the swap in (2) will cancel out through summation.
中文解析：
根据题干我们可以梳理出原来的资产配置情况和想要实现的配置情况，如下图：
然后题目想通过互换来实现这个资产配置的改变，于是就有了下图的三个互换（tips：图中的小人代表的是我们所占的一方）
另外，为什么要用MRR作为互换的另一端呢，是因为题干中给到这个信息：“The market reference rate is assumed to be flat for all swaps”。MRR是一个市场利率，常见的如libor。其实这个MRR是什么并不重要，因为在整个操作下来，比如本题的三个互换后，所有关于这个MRR的头寸都被抵消了。当然如果题目没有说要用MRR，我们也可以用libor，或者libor+3%，或者libor+5%都可以的，因为最终对我们是没有影响的。
three swaps can be used to implement this adjustment.
the bond position should be decreased by 5m to increase to stock position.
domestic stock increases 2m, foreign stock increases 3m.
the first swap is paying MRR and receive domestic stock return with 2m notional principal
the second swap is paying MRR and receive foreign stock return with 3m notional principal
the third swap is paying bond return and receiving MRR with 5m notional principal
