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Marina_0122 · 2022年02月22日

用651份不够把？为什么不是652份？

NO.PZ2018113001000075

问题如下：

Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US Treasuries。Matthew intends to fully hedge this bond portfolio against a rise in interest rates。

Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.

Based on Exhibit 1, the number of Treasury futures contracts Matthew should sell to fully hedge Portfolio W is closest to:

选项：

A.

652

B.

651

C.

745

解释：

B is correct

$BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33$

Matthew should sell 651 Treasury bond futures contracts.

中文解析：

本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。

用651份不够把？为什么不是652份？

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Hertz_品职助教 · 2022年02月23日

嗨，爱思考的PZer你好：

同学你好~

关于这个合约份数的问题哈，咱们的原则就是根据最后的结果直接四舍五入取整的原则，所以651.33直接取整为651.

因为最好的状态是份数刚刚好的对冲，651份不够，但是652份又多了，因为它只需要651.33份嘛，所以这本身就是一个很难两全的，原则就是四舍五入取整即可哈~

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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！

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