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vilyvivi · 2021年03月24日

为啥C不对,因为90天期限与10year不匹配吗

NO.PZ2017121101000004

问题如下:

A US bond portfolio manager wants to hedge a long position in a 10- year Treasury bond against a potential rise in domestic interest rates. He would most likely:

选项:

A.

sell fixed- income (bond) futures.

B.

enter a receive- fixed 10- year interest rate swap.

C.

sell a strip of 90- day Eurodollar futures contracts.

解释:

A is correct.

The portfolio manager would most likely use a longer-dated fixed- income (bond) futures contract to hedge his interest rate risk exposure. The choice of the hedging instrument, in fact, will depend on the maturity of the bond being hedged. Interest rate futures, like 90-day Eurodollar futures, have a limited number of maturities and can be used to hedge short-term bonds. The mark-to- market value of a receive- fixed 10- year interest rate swap will become negative if interest rates rises, and thus the swap cannot be used as a hedge in this case.

为啥C不对,因为90天期限与10year不匹配吗

2 个答案

pzqa31 · 2024年01月03日

嗨,努力学习的PZer你好:


strip这个知识点超纲了,可以看下FRM里的相关解释:https://class.pzacademy.com/qa/60002

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Hertz_品职助教 · 2021年03月25日

嗨,爱思考的PZer你好:


同学你好~

你讲的是对的哈,题目说要对冲的是10期国债,而A.B.C选项中提及的fixed income futures,interest rate futures和Eurodollar futures,后两个关注的都是短期利率,短期对冲适用。只有fixed income futures是关注长期利率,本题中适用。

A选项:预期利率上升,对应bond价格下跌,所以sell fixed- income (bond) futures,即在bond下跌(利率上升)时获利。

B选项:进入一个收10年期固定利率的互换,由于利率在上升,意味着我们收到的在变少,所以不能获利。

C选项: Eurodollar futures期限是90天,不适合用来对冲10年期债券。选项中说的卖出一系列的Eurodollar futures,这也是不现实的,在不断进行滚仓的过程中会产生很大的成本,且对冲效果不好,还是需要用长期的fixed income futures来hedge。(如仍有疑问,欢迎追问~)

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

阿拉雷_Pz · 2024年01月02日

请问strip是什么策略,相对应的是不是也有一个策略

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