NO.PZ2023091802000100
问题如下：
A trader executes a $420 million 5-year pay fixed swap (duration
4.433) with one client and a $385 million 10 year receive fixed swap (duration
7.581) with another client shortly afterwards. Assuming that the 5-year rate is
4.15% and 10-year rate is 5.38% and that all contracts are transacted at par,
how can the trader hedge his position?
选项：
A.Buy 4,227 Eurodollar contracts
B.Sell 4,227 Eurodollar contracts
C.Buy 7,185 Eurodollar contracts
D.Sell 7,185 Eurodollar contracts
解释：
Step1. First swap is equivalent to a short position in a bond with
similar coupon characteristics and maturity offset by a long position in a
floating-rate note.
Its
Step2. Second swap is equivalent to a long
position in a bond with similar coupon characteristics and maturity offset by a
short position in a floating-rate note.
Its
Step3. Net DV01 of portfolio = -0.186+ 0.291 =
0.105m = 105,683
Step4. The optimal number is (Note that the
DVBP of the Eurodollar futures is about 25.)
如题
