NO.PZ202209060200004102
问题如下：
Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:选项：
A.fall. B.rise. C.remain the same.解释：
Solution
A is correct.
The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by Nf = (BPVL – BPVA)/BPVf, where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively).
In this case, Nf = (59,598 – 91,632)/97.4 = –328.891, where the minus sign indicates a short position or selling of 329 futures contracts (328,891/1,000).
In this case, the duration of assets is higher than the duration of liabilities so the pension fund will be hurt by rising interest rates and helped by falling interest rates. The short futures position of 329 contracts will hedge this exposure. Ruelas has under-hedged with a short position of less than 329 contracts, leaving the pension fund to be hurt by rising interest rates and helped by falling interest rates; therefore, he must believe interest rates will fall.
B is incorrect because if Ruelas believed rates would rise, he would over-hedge, leaving a net position that would benefit from rising rates.
C is incorrect because if Ruelas believed rates wouldn’t change, he would hedge fully, in case rates moved in an unexpected way.
In this case, the duration of assets is higher than the duration of liabilities so the pension fund will be hurt by rising interest rates and helped by falling interest rates. The short futures position of 329 contracts will hedge this exposure. Ruelas has under-hedged with a short position of less than 329 contracts, leaving the pension fund to be hurt by rising interest rates and helped by falling interest rates; therefore, he must believe interest rates will fall.
我没有能够完全理解这里的逻辑，请老师帮忙解释。
