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toffee · 2023年05月20日

关于这道题

  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。

同时给一般futures和CTD，选择哪个？这个有什么规律吗？感觉分不清

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2 个答案

pzqa31 · 2023年05月21日

嗨，努力学习的PZer你好：


这个要看题目给什么条件，如果题目中给了CTD的duration，就用CTD的。如果万一题目没有给，那就用futures的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa31 · 2023年05月20日

嗨，从没放弃的小努力你好：


一般这种标价都是约定俗成的,右边futures contract and CTD bond里面的数字代表：

price代表CTD面值的百分比（即名义本金的百分比） Pctd=price*contract size=143.2%*100,000

modified duration代表futures的duration

basis point value代表CTD的BPV

以后做题中会经常用到，熟悉了就好啦。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

toffee · 2023年05月20日

我的意思是如果算合约份数，什么时候用CTD算，什么时候用一般futures 算？麻烦详细讲一下两个公式的区别哈

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