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王一 · 2020年03月20日

问一道题：NO.PZ2020021204000039 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Approximately how many three-month Eurodollar futures contracts are necessary to hedge the six-month interest that will be paid on a USD 20 million bond? Assume that the six-month period starts at the maturity of the futures contract that will be used. (Ignore the differences between Eurodollar futures and FRAs mentioned in the chapter for this question.)

解释：

The change in the value of the instrument for a 1-basis point parallel shift in the interest rate is

USD 20,000,000 x 0.5 x 0.0001 = USD 1,000

This is 40 times USD 25. It follows that 40 contracts should be shorted.

这里认为债券的duration 是0.5？
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2 个答案

袁园_品职助教 · 2022年03月19日

嗨，爱思考的PZer你好：


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袁园_品职助教 · 2020年03月20日

同学你好！

因为是 six-month 即半年，所以 duration = 0.5

he123456 · 2022年03月17日

不是只有零息债券的duration才等于到期日吗？普通的bond不是吧

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