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Maxy · 2024年02月27日

请问这句话如何理解?谢谢!

NO.PZ2019052801000041

问题如下:

It's June 2nd and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625, each contract is for the delivery of USD 100,000 face value of the bonds. The duration of the manager's bond portfolio in three months will be 7.8 years, the cheapest to deliver bonds in the treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the treasury bond futures contract, the duration of the underlying benchmark treasury bond is 9 years. What position should fund manager undertake to mitigate his interest rate risk exposure?

选项:

A.

Long 95 contracts.

B.

Short 95 contracts.

C.

Long 98 contracts.

D.

Short 98 contracts.

解释:

D is correct.

考点:Duration Based Hedge

解析:

N=($10,000,000×7.8)($100,000×8.4×95.0625%)=98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98

基金经理应该short 98份合约来进行对冲。

each contract is for the delivery of USD 100,000 face value of the bonds

1 个答案

pzqa27 · 2024年02月28日

嗨,爱思考的PZer你好:


这句话的意思是说,每一份futures合约是交割面值为100,000的债券的,或者可以认为futures合约的标的物是面值为100,000的债券。

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