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.
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.
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.