NO.PZ2017121101000004
问题如下：
A US bond portfolio manager wants to hedge a long position in a 10- year Treasury bond against a potential rise in domestic interest rates. He would most likely:
选项：
A.sell fixed- income (bond) futures.
enter a receive- fixed 10- year interest rate swap.
sell a strip of 90- day Eurodollar futures contracts.
解释：
A is correct.
The portfolio manager would most likely use a longer-dated fixed- income (bond) futures contract to hedge his interest rate risk exposure. The choice of the hedging instrument, in fact, will depend on the maturity of the bond being hedged. Interest rate futures, like 90-day Eurodollar futures, have a limited number of maturities and can be used to hedge short-term bonds. The mark-to- market value of a receive- fixed 10- year interest rate swap will become negative if interest rates rises, and thus the swap cannot be used as a hedge in this case.
中文解析：
A选项：预期利率上升，对应bond价格下跌，所以sell fixed- income (bond) futures，即在bond下跌（利率上升）时获利。
B选项：进入一个收10年期固定利率的互换，由于利率在上升，意味着我们收到的在变少，所以不能获利。
C选项： Eurodollar
futures期限是90天，不适合用来对冲10年期债券。
这道题是说利率上升，价格下跌所以short futures，是从价格角度出发的。但是在interest rate risk那一部分，forward\futures\swap有时又是从利率上升，支付的利息更多，所以要long FRA的角度在讨论。那当利率上升时，该怎么判断是从价格的角度出发还是利息的角度出发考虑问题呢？这两个角度得出的结论是完全相反的，一旦角度找错了，题目肯定做错。
