开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

005 · 2023年05月25日

请问题目中par value of EUR100,000这类条件一般怎么理解和使用?

* 问题详情,请 查看题干

NO.PZ202209060200004102

问题如下:

Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:

选项:

A.fall. B.rise. C.remain the same.

解释:

Solution

A is correct.

The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by Nf = (BPVL – BPVA)/BPVf, where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively).

In this case, Nf = (59,598 – 91,632)/97.4 = –328.891, where the minus sign indicates a short position or selling of 329 futures contracts (328,891/1,000).

In this case, the duration of assets is higher than the duration of liabilities so the pension fund will be hurt by rising interest rates and helped by falling interest rates. The short futures position of 329 contracts will hedge this exposure. Ruelas has under-hedged with a short position of less than 329 contracts, leaving the pension fund to be hurt by rising interest rates and helped by falling interest rates; therefore, he must believe interest rates will fall.

B is incorrect because if Ruelas believed rates would rise, he would over-hedge, leaving a net position that would benefit from rising rates.

C is incorrect because if Ruelas believed rates wouldn’t change, he would hedge fully, in case rates moved in an unexpected way.

请问题目中par value of EUR100,000这类条件一般怎么理解和使用?

2 个答案

pzqa31 · 2023年05月26日

嗨,努力学习的PZer你好:


对这道题这类的计算是没影响,不过具体还是要看题目,也不能一概而论。

----------------------------------------------
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25日

嗨,努力学习的PZer你好:


在计算这类题的时候用不到,应该就是为了交代一下背景用的,题目中给的条件不一定每个都能用到。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

005 · 2023年05月26日

嗯了解本题解答用不到,但因为题目中通常这类条件比较多,还是想了解下具体的理解和应用,如果par value是1000,对于具体的计算有什么影响吗?

  • 2

    回答
  • 2

    关注
  • 378

    浏览
相关问题

NO.PZ202209060200004102 问题如下 Given the futures position entereinto the pension fun Ruelmost likely believes interest rates will: A.fall. B.rise. C.remain the same. SolutionA is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given Nf = (BPVL – BPVA)/BPVf, where BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (59,598 – 91,632)/97.4 = –328.891, where the minus sign incates a short position or selling of 329 futures contracts (328,891/1,000). In this case, the ration of assets is higher ththe ration of liabilities so the pension funwill hurt rising interest rates anhelpefalling interest rates. The short futures position of 329 contracts will hee this exposure. Ruelhunr-heewith a short position of less th329 contracts, leaving the pension funto hurt rising interest rates anhelpefalling interest rates; therefore, he must believe interest rates will fall.B is incorrebecause if Ruelbelieverates woulrise, he woulover-hee, leaving a net position thwoulbenefit from rising rates.C is incorrebecause if Ruelbelieverates woul’t change, he woulhee fully, in case rates movein unexpecteway. In this case, the ration of assets is higher ththe ration of liabilities so the pension funwill hurt rising interest rates anhelpefalling interest rates. The short futures position of 329 contracts will hee this exposure. Ruelhunr-heewith a short position of less th329 contracts, leaving the pension funto hurt rising interest rates anhelpefalling interest rates; therefore, he must believe interest rates will fall.我没有能够完全理解这里的逻辑,请老师帮忙。

2024-07-26 16:15 1 · 回答