NO.PZ2020011303000230
问题如下:
What is the advantage of using par yield KR01s rather than spot rate KR01s for hedging?
选项:
A.
Par yield KR01s are simpler to calculate than spot rate KR01s.
B.
Spot rate KR01s provide a broader view of the yield curve.
C.
It is easier to identify how par yield bonds can be used as hedges.
D.
Spot rate KR01s are more accurate for measuring interest rate risk.
解释:
When par yield KR01s are used, it is easy to identify how par yield bonds can be used as hedges.
题目问:用par yield KR01来做对冲,比用spot rate KR01有什么优点?
par yield KR01更容易识别有多少par yield bond可以被使用。
par yield KR01 计算hegde相对来说比较容易,这个才是最主要的优势。
请问为什么par比spot在hedge方面更有优势呢?