NO.PZ2022123002000039
问题如下：
A US bond portfolio manager wants to hedge a long
position in a 10-year Treasury bond against a potential rise in domestic
interest rates. He would most likely:
选项：
A.sell fixed-income
(bond) futures
enter a receive-fixed
10-year interest rate swap
sell a strip of
90-day Eurodollar futures contracts
解释：
Correct Answer: A
A is correct. The portfolio manager would most likely use a
longer-dated fixed-income (bond) futures contract to hedge his interest rate
risk exposure. The choice of the hedging instrument, in fact, will depend on
the maturity of the bond being hedged. Interest rate futures, like 90-day
Eurodollar futures, have a limited number of maturities and can be used to
hedge short-term bonds. The mark-to-market value of a receive-fixed 10-year
interest rate swap will become negative if interest rates rises, and thus the
swap cannot be used as a hedge in this case.
eurodollar futures的底层资产是债券，利率下降，债券价格上升，short方赚钱。对冲风险的角度，这个头寸没问题。但不选C，仅仅是因为期限不匹配，对吗？
