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Drink H · 2020年07月23日

问一道题：NO.PZ2016082404000022

  1. FRM I
  2. Financial Markets And Products

问题如下：

On June 2, a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8 years. The cheapest-to-deliver (CTD) bond in the Treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure?

选项：

A.

  Short 94 contracts

B.

  Short 98 contracts

C.

  Short 105 contracts

D.

  Short 113 contracts

解释：

ANSWER: B

The number of contracts to short is N∗=−DS∗SDF∗F=−(7.8×10,000,000)8.4×95.0625×1,000=−97.7N\ast=-\frac{D_S^\ast S}{D_F^\ast F}=\frac{-(7.8\times10,000,000)}{8.4\times95.0625\times1,000}=-97.7, or 98 contracts. Note that the relevant duration for the futures is that of the CTD; other numbers are irrelevant.

分母部分，期货报价95.0625可不可以理解成95.0625%，再乘以100，000？

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1 个答案

小刘_品职助教 · 2020年07月23日

同学你好，

期货的报价 95.0625对应的是面值为100的债券，一份合约对应的是1000份，所以题目里说Each contract is for the delivery of USD 100,000 face value of bonds. 是有1000份面值100的债券。

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