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粗眉毛辣椒油 · 2024年03月20日

答案疑问

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000039

问题如下：

Approximately how many three-month Eurodollar futures contracts are necessary to hedge the six-month interest that will be paid on a USD 20 million bond? Assume that the six-month period starts at the maturity of the futures contract that will be used. (Ignore the differences between Eurodollar futures and FRAs mentioned in the chapter for this question.)

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解释：

The change in the value of the instrument for a 1-basis point parallel shift in the interest rate is

USD 20,000,000 x 0.5 x 0.0001 = USD 1,000

This is 40 times USD 25. It follows that 40 contracts should be shorted.

直接说short 40份ED 合约是不是不对？应该假设利率下降1bp,就short?

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李坏_品职助教 · 2024年03月21日

嗨，努力学习的PZer你好：


题目一开始说的是hedge the six-month interest that will be paid，意思是在未来即将支付的一笔利息。既然是未来要支付利息，那自然是害怕未来利率上升（这样未来要付更多的钱）。

既然害怕未来利率上升，所以我们需要做一个hedge，这个hedge可以在利率上升时赚钱从而对冲我们的风险。


ED futures的价格 = 100 - 利率，利率上升对应的是ED futures价格下降，所以我们需要在futures价格下降时赚钱，也就是需要short。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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