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
B.
enter a receive-fixed
10-year interest rate swap
C.
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.
long 10y bond，担心利率上涨，价格下跌。那B，变成固定的话，可以避免这个问题吗？
