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不忘初心 · 2024年05月01日

关于利率互换的duration

NO.PZ2023091701000035

问题如下:

A hedge fund manager who holds a portfolio of interest rate-sensitive positions has just received an economist’s report forecasting a significant shift in interest rates. Accordingly, the manager wants to change the fund’s interest rate exposure by investing in fixed-income securities with negative duration. Which of the following positions should the fund manager take?

选项:

A.A long position in a callable corporate bond B.A long position in a putable corporate bond C.An interest rate swap paying fixed and receiving LIBOR plus a spread D.An interest rate swap paying LIBOR plus a spread and receiving fixed

解释:

C is correct. In order to change the interest rate exposure by taking a position with negative duration, the manager will need to invest in securities that decrease in value as interest rates fall (and increase in value as interest rates rise). An interest rate swap paying fixed and receiving LIBOR plus a spread will increase in value as interest rates rise.

A is incorrect. Although the call feature of a callable bond decreases the bond’s duration in comparison to an otherwise identical option-free bond, the overall duration of the bond remains positive.

B is incorrect. Similarly to a callable bond, the duration of a putable bond remains positive despite being lower than that of an otherwise identical option-free bond .

D is incorrect. An interest rate swap paying LIBOR plus a spread and receiving fixed will decrease in value as interest rates rise.

这道题还是没懂,做两遍还是错。没懂为什么利率互换,收固定,付固定,duration不一样呢?

1 个答案

pzqa39 · 2024年05月02日

嗨,努力学习的PZer你好:


支固定利率,收浮动利率:这种互换的持有者会希望利率上升,因为这样浮动收益会增加,而固定支付则不变。在这种情况下,互换的久期通常被视为正值,因为当市场利率上升时,这种互换的净价值(当前值)会增加。

支浮动利率:收固定利率这种互换的持有者则希望利率下降,这样他们的浮动支付会减少,而固定收益不变。在这种情况下,互换的久期通常被视为负值,因为当市场利率上升时,这种互换的净价值会下降。

所以,当你选择支付固定利率和接收浮动利率的互换时,你实际上是在增加对利率上升的敞口(正久期),而选择支付浮动利率和接收固定利率的互换则是在增加对利率下降的敞口(负久期)。


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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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