NO.PZ2020011303000221
问题如下:
An investor has a bond position worth USD 20,000 with a duration of seven. How can the position be hedged with a bond that has a duration of ten?
解释:
The position (USD) required in bond is
-20,000×7/10= -14,000
题目问:一个投资者投资了USD20000的债券,duration是7。如何用一个duration是10的债券来帮助这个投资者对冲风险?
目标是使得债券价格变动=0
20000*7+hedging bond*10=0
hedging bond=-14000
需要short14000,duration为10的这个债券。
老师好,我是这么算的,哪里错了吗?