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pepperhyp · 2023年08月22日

关于1.82的计算

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NO.PZ202303270300007501

问题如下:

(1) Select the most appropriate credit portfolio positioning strategy to capitalize on an expected steepening of the investment-grade credit spread curve.

选项:

A.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using contracts of equal notional value.

B.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

解释:

C is correct. The investor benefits from a short risk (as protection buyer) on the 10-year CDX IG index and long risk (as protection seller) on the 5-year CDX IG index, duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

老师好,关于1.82的计算,应该是用effective spread duration ratio进行计算的对吧?什么时候用这个公式呢?

duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

1 个答案

pzqa31 · 2023年08月22日

嗨,从没放弃的小努力你好:


duration neutral的两个duration分别是4.9和8.9,duration neutral是4.9*NP(5年期)=8.9*NP(10年期),所以5年期的NP是10年期的1.82倍。

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