market value

NO.PZ201601050100001702 问题如下 GlobMega (Global) is a versifiefinanciservices firm. Yasuko Regan, senior trar, anMarcus Whitacre, junior trar, both work on the firm’s rivatives sk. ReganWhitacre assist in structuring animplementing tras for clients in the financiservices instry thhave limiterivatives expertise. ReganWhitacre are currently assisting one of Global’s clients—Monatize, asset management firm—with two of its portfolios: Portfolio A anPortfolio B.Portfolio A is a bonportfolio composesolely of US Treasury bon. Monatize haskeGlobto quote the number of Treasury futures contracts necessary to fully hee this bonportfolio against a rise in interest rates. Exhibit 1 presents selecteta on Portfolio the relevant Treasury futures contract, anthe cheapest-toliver (CT bonAfter internscussion, Monatize elects to not hee Portfolio A but rather crease the portfolio’s mofieration to 3.10. Regasks Whitacre to compute the number of Treasury futures contracts to sell in orr to achieve this objective. Regtells Whitacre to assume the yielcurve is flat.Portfolio B is a $100,000,000 equity portfolio inxeto the S P 500 Inx, with excess cash of $4,800,000. Monatize is requireto equitize its excess cash to fully investe anthe firm rects Globto purchase futures contracts to so. To replicate the return of Portfolio B’s target inx, Whitacre purchases S P 500 futures contracts, a priof 3,300 per contract, thhave a multiplier of $250 per inx point ana beta of 1.00.Monatize’s CFO anRegscuss two potentiheing strategies for Portfolio B to proteagainst a hypotheticextreme sell-off in equities. Regfirst suggests thMonatize coulenter into a totreturn equity swap, whereMonatize agrees to pthe return on the S P 500 anreceive a fixeinterest rate pre-specifietes in exchange for a fee.Regnext suggests thMonatize coulalternatively hee Portfolio B using varianswaps. Monatize’s CFO asks Regto calculate whthe gain woulin five months on a purchase of $1,000,000 vega notionof a one-yevarianswon the S P 500 a strike of 15% (quoteannuvolatility), assuming the following:■ Over the next five months, the S P 500 experiences a realizevolatility of 20%; ■ the enof the five-month perio the fair strike of a new seven-month varianswon the S P 500 will 18%; an The annuinterest rate is 1.50%.ReganWhitacre scuss the use of ferfun futures contracts to infer probabilities of future monetary polichanges. Whitacre makes the following three statements about fefun futures contracts:Statement 1 Typicenof-month activity large financianbanking institutions often inces “ps” in the effective fefun rate.Statement 2 Especially for the longer-term horizon, the probabilities inferrefrom the pricing of fefun futures usually have strong prective powerStatement 3To rive probabilities of FerReserve interest rate actions, market participants look the pricing of fefun futures, whiare tieto the FerReserve’s target fefun rate.Whitacre then proposes to RegthGlobexplore opportunities in bonfutures arbitrage. Whitacre makes the following two statements:Statement 4 If the basis is positive, a trar woulmake a profit “selling the basis.” Statement 5 If the basis is negative, a trar woulmake a profit selling the bonanbuying the futures. Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to achieve Monetize’s objective with respeto Portfolio A is closest to: A.490. B.518. C.676. A is correct. Monetize wants to rePortfolio A’s mofieration to a target of 3.10. BPVT is calculatefollows:The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), whiprovis the number of futures contracts nee is then calculatefollows:Thus, to crease the mofieration of Portfolio A to 3.10, Whitacre shoulsell 490 Treasury bonfutures contracts中文解析本题考察的是使用债券期货合约调节组合的ration。根据题干信息可知，当前的目标ration是3.1，据此可以计算出BPVT =$44,402.54然后仍然带入公式 计算结果为-489.613，约等于490份，负号代表short。 用公式得出的BPV和题目中给出的BPV有什么不同？为什么要用公式计算出的BPV？

NO.PZ201601050100001702 问题如下 Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to achieve Monetize’s objective with respeto Portfolio A is closest to: A.490. B.518. C.676. A is correct. Monetize wants to rePortfolio A’s mofieration to a target of 3.10. BPVT is calculatefollows:The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), whiprovis the number of futures contracts nee is then calculatefollows:Thus, to crease the mofieration of Portfolio A to 3.10, Whitacre shoulsell 490 Treasury bonfutures contracts中文解析本题考察的是使用债券期货合约调节组合的ration。根据题干信息可知，当前的目标ration是3.1，据此可以计算出BPVT =$44,402.54然后仍然带入公式 计算结果为-489.613，约等于490份，负号代表short。 如题

NO.PZ201601050100001702问题如下 GlobMega (Global) is a versifiefinanciservices firm. Yasuko Regan, senior trar, anMarcus Whitacre, junior trar, both work on the firm’s rivatives sk. ReganWhitacre assist in structuring animplementing tras for clients in the financiservices instry thhave limiterivatives expertise. ReganWhitacre are currently assisting one of Global’s clients—Monatize, asset management firm—with two of its portfolios: Portfolio A anPortfolio B.Portfolio A is a bonportfolio composesolely of US Treasury bon. Monatize haskeGlobto quote the number of Treasury futures contracts necessary to fully hee this bonportfolio against a rise in interest rates. Exhibit 1 presents selecteta on Portfolio the relevant Treasury futures contract, anthe cheapest-toliver (CT bonAfter internscussion, Monatize elects to not hee Portfolio A but rather crease the portfolio’s mofieration to 3.10. Regasks Whitacre to compute the number of Treasury futures contracts to sell in orr to achieve this objective. Regtells Whitacre to assume the yielcurve is flat.Portfolio B is a $100,000,000 equity portfolio inxeto the S P 500 Inx, with excess cash of $4,800,000. Monatize is requireto equitize its excess cash to fully investe anthe firm rects Globto purchase futures contracts to so. To replicate the return of Portfolio B’s target inx, Whitacre purchases S P 500 futures contracts, a priof 3,300 per contract, thhave a multiplier of $250 per inx point ana beta of 1.00.Monatize’s CFO anRegscuss two potentiheing strategies for Portfolio B to proteagainst a hypotheticextreme sell-off in equities. Regfirst suggests thMonatize coulenter into a totreturn equity swap, whereMonatize agrees to pthe return on the S P 500 anreceive a fixeinterest rate pre-specifietes in exchange for a fee.Regnext suggests thMonatize coulalternatively hee Portfolio B using varianswaps. Monatize’s CFO asks Regto calculate whthe gain woulin five months on a purchase of $1,000,000 vega notionof a one-yevarianswon the S P 500 a strike of 15% (quoteannuvolatility), assuming the following:■ Over the next five months, the S P 500 experiences a realizevolatility of 20%; ■ the enof the five-month perio the fair strike of a new seven-month varianswon the S P 500 will 18%; an The annuinterest rate is 1.50%.ReganWhitacre scuss the use of ferfun futures contracts to infer probabilities of future monetary polichanges. Whitacre makes the following three statements about fefun futures contracts:Statement 1 Typicenof-month activity large financianbanking institutions often inces “ps” in the effective fefun rate.Statement 2 Especially for the longer-term horizon, the probabilities inferrefrom the pricing of fefun futures usually have strong prective powerStatement 3To rive probabilities of FerReserve interest rate actions, market participants look the pricing of fefun futures, whiare tieto the FerReserve’s target fefun rate.Whitacre then proposes to RegthGlobexplore opportunities in bonfutures arbitrage. Whitacre makes the following two statements:Statement 4 If the basis is positive, a trar woulmake a profit “selling the basis.” Statement 5 If the basis is negative, a trar woulmake a profit selling the bonanbuying the futures. Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to achieve Monetize’s objective with respeto Portfolio A is closest to: A.490.B.518.C.676. A is correct. Monetize wants to rePortfolio A’s mofieration to a target of 3.10. BPVT is calculatefollows:The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), whiprovis the number of futures contracts nee is then calculatefollows:Thus, to crease the mofieration of Portfolio A to 3.10, Whitacre shoulsell 490 Treasury bonfutures contracts中文解析本题考察的是使用债券期货合约调节组合的ration。根据题干信息可知，当前的目标ration是3.1，据此可以计算出BPVT =$44,402.54然后仍然带入公式 计算结果为-489.613，约等于490份，负号代表short。 如题。ctbonbpv怎么算出来的？用题目给的数据算出的结果好像不等于给出的bpv？