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苏卿 · 2023年06月17日

小数直接四舍五入就可以吗？

  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。

计算结果是−651.33，那么你卖出651份合约应该是不够的吧，难道不应该是卖出652份才能fully hedge吗？

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1 个答案

pzqa31 · 2023年06月17日

嗨，爱思考的PZer你好：


就按照咱们课上讲的四舍五入就可以了哈，这个地方不用纠结。

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