NO.PZ2018122701000081
问题如下：
The trading department of Dragon Fruit Bank now has a hedging position based on the duration. They shorted the $ 500 million U.S. Treasury bond and bought the $ 473 million U.S. TIPS. The analysis department of the bank has just made a regression analysis of the nominal interest rate and real interest rate, and found that when the nominal interest rate changes by 1 basis point, the real interest rate changes by 0.992 basis points. Based on this relationship, how should the trading department adjust their existing positions?
选项：
A.There is no need to change the position.
B.purchase $3.8 million TIPS.
C.Purchase $4.8 million Treasury bond
D.Sell $3.8 million TIPS
解释：
B is correct.
考点：Empirical Approaches To Risk Metrics And Hedging
解析：因为利率变化不同，原有的duration hedge平衡被打破了，实际需要的TIPS是473/0.992=476.8 million。所以要再买3.8million的TIPS。
老师我理解这道题的做法，就是通过DVhedge算出tresury bond和TIPS之间duration的关系，然后在通过regression去求出需要对冲的头寸。
只是我有个疑问，在这道题里面是说名义利率变动1%实际利率变动0.992，基础班的时候李老师说一定要让对冲工具作为自变量，要对冲的作为因变量。因为对冲工具可以有很多，那这道题里面我改怎么判断自变量因变量呢？
