Amy · 2022年04月14日
NO.PZ2019070101000055
问题如下：
An asset manager wants to hedge the interest risk of a bond position with a 5-year key rate exposure of $9.84. A hedge instrument that has a corresponding 5-year key rate exposure of 4.12 per $100 of face value is avaliable, the amount of face value would be used to hedge is close to:
选项：
A.$41.87
B.$65.54.
C.$238.83.
D.$299.83
解释：
C is correct
考点：Key Rate ‘01s and Durations
解析：
(4.12/100) ×f=$9.84
f=$238.83
为什么用4.12/100?
NO.PZ2019070101000055 问题如下 asset manager wants to hee the interest risk of a bonposition with a 5-yekey rate exposure of $9.84. hee instrument thha corresponng 5-yekey rate exposure of 4.12 per $100 of favalue is avaliable, the amount of favalue wouluseto hee is close to: A.$41.87 B.$65.54. C.$238.83. $299.83 C is correct考点Key Rate ‘01s anrations解析 (4.12/100) ×f=$9.84f=$238.83 我看提问回答中有写“题目的意思是每100面值的对冲用的债券可以带来4.12的key rate的变化”，那4.12的变化是利率变动多少带来的变化？这里可以理解为ration吗？
$65.54. $238.83. $299.83 C is corre考点Key Rate ‘01s anrations 解析 (4.12/100) ×f=$9.84 f=$238.83不是问的hee吗？怎么是用key rate 01？没懂这题，麻烦解答一下，谢谢
