NO.PZ2017121101000012
问题如下：
A $30 million investment account of a bank trust fund is allocated one- third to stocks and two-thirds to bonds. The portfolio manager wants to change the overall allocation to 50% stock and 50% bonds and the allocation within the stock fund from 70% domestic stock and 30% foreign stock to 60% domestic and 40% foreign. The bond allocation will remain entirely invested in domestic corporate issues.
Explain how swaps can be used to implement this adjustment. The market reference rate is assumed to be flat for all swaps, and you do not need to refer to specific stock and bond indexes.
选项：
解释：
Currently the allocation is $10 million in stocks and $20 million in bonds. Within the stock category, the current allocation is $7 million domestic and $3 million foreign. The desired allocation is $15 million in stocks and $15 million in bonds. Thus, the allocation must change by moving $5 million into stocks and out of bonds. The desired stock allocation is $9 million domestic and $6 million foreign. The desired bond allocation is $15 million, all domestic corporate.
To make the changes with swaps, the manager must enter into swaps against the market reference rate, which is assumed to be flat for all swaps in this example. Using the swaps, the bank trust fund portfolio manager needs to (1) receive the returns on $2 million based on a domestic equity index and on $3 million based on a foreign equity index and (2) pay the return on $5 million based on a domestic corporate bond index. The market reference rate outflows from the swaps in (1) and the inflows from the swap in (2) will cancel out through summation.
我记得讲义里面有说equity和bond不能直接转换，要先换成cash，这里为什么可以？两者有什么不同吗？
