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nanaluo · 2021年10月16日

请老师解释下这道题和答案

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000039

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.

请解释一下这道题的考点和答案
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1 个答案

品职答疑小助手雍 · 2021年10月17日

同学你好，考点是利率风险对冲，要对冲的是20million的半年期债券，对冲工具是 Eurodollar futures。

半年期债券的dollar duration是20million*duration*1bps=20million*0.5*0.0001=1000.

一份Eurodollar futures合约的dollar duration是25，见基础班讲义300页，所以需要40份合约。

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