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xgxinw · 2025年02月01日

derivatives

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208100100000301

问题如下：

The number of Treasury futures contracts Tryon needs to hedge the interest rate exposure in the corporate bond portfolio is closest to:

选项：

A.

47

B.

54

C.

63

解释：

Solution

A is correct.

First, calculate the BPVP (basis point value) of the portfolio to be hedged:

BPVP = MDURP × 0.01% × MVP = 7.50 × 0.0001 × 10,000,000 = 7,500.

Second, calculate the BPVCTD of the hedging contract hedging instrument:

BPVP = MDURCTD × 0.01% × MVCTD = 8.30 × 0.0001 × [(144.20/100) × 100,000] = 119.69.

Third, the number of futures contracts needed to hedge the portfolio = BPVHR (basis point value hedge ratio):

BPVHR= (BPVT-BPVp / BPVCTD)×conversion factor=(0-7,500/119.69)×0.7455=46.71≈-47

中文解析：

本题考察的是用债券期货来管理管理利率风险。

考察的公式为

注意题干中的报价144.20是以面值100进行报价的，因此在求其MV时，要先除以100然后再乘以合约规模100,000.即MVCTD=(144.20/100) × 100,000。

这个题不是给的futures的MD吗？怎么看出来是CTD的

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1 个答案

李坏_品职助教 · 2025年02月01日

嗨，努力学习的PZer你好：


同学看的很仔细，这道题确实存在条件遗漏。我们会尽快更正，多谢提醒！

----------------------------------------------
努力的时光都是限量版，加油！

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NO.PZ202208100100000301 问题如下 The number of Treasury futures contracts Tryon nee to hee the interest rate exposure in the corporate bonportfolio is closest to: A.47 B.54 C.63 SolutionA is correct. First, calculate the BPVP (basis point value) of the portfolio to heeBPVP = MRP × 0.01% × MVP = 7.50 × 0.0001 × 10,000,000 = 7,500.Secon calculate the BPVCTof the heing contraheing instrument:BPVP = MRCT× 0.01% × MVCT= 8.30 × 0.0001 × [(144.20/100) × 100,000] = 119.69.Thir the number of futures contracts neeto hee the portfolio = BPVHR (basis point value hee ratio):BPVHR= (BPVT-BPVp/ BPVCT×conversion factor=(0-7,500/119.69)×0.7455=46.71≈-47中文解析本题考察的是用债券期货来管理管理利率风险。考察的公式为 注意题干中的报价144.20是以面值100进行报价的，因此在求其MV时，要先除以100然后再乘以合约规模100,000.即MVCT(144.20/100) ×100,000。 如何判断BPV(T)是等于0呢

2023-02-09 09:52 1 · 回答

NO.PZ202208100100000301问题如下 The number of Treasury futures contracts Tryon nee to hee the interest rate exposure in the corporate bonportfolio is closest to: A.47B.54C.63 SolutionA is correct. First, calculate the BPVP (basis point value) of the portfolio to heeBPVP = MRP × 0.01% × MVP = 7.50 × 0.0001 × 10,000,000 = 7,500.Secon calculate the BPVCTof the heing contraheing instrument:BPVP = MRCT× 0.01% × MVCT= 8.30 × 0.0001 × [(144.20/100) × 100,000] = 119.69.Thir the number of futures contracts neeto hee the portfolio = BPVHR (basis point value hee ratio):BPVHR= (BPVT-BPVp/ BPVCT×conversion factor=(0-7,500/119.69)×0.7455=46.71≈-47中文解析本题考察的是用债券期货来管理管理利率风险。考察的公式为 注意题干中的报价144.20是以面值100进行报价的，因此在求其MV时，要先除以100然后再乘以合约规模100,000.即MVCT(144.20/100) ×100,000。 这题的144.2 需要如何判断要➗100 谢谢

2023-01-28 21:51 1 · 回答