老师,想问一下原版书这道例题
A portfolio manager is holding €50 million (principal) in German bunds (DBRs) and wants to fully hedge the value of the bond investment against a rise in interest rates. The portfolio has a modified duration of 9.50 and a market value of €49,531,000. Moreover, the manager wishes to fully hedge the bond portfolio (so, BPVT = 0) with a short position in Euro-Bund futures with a price of 158.33. The cheapest-to-deliver bond is the DBR 0.25% 02/15/27 that has a price of 98.14, modified duration of 8.623, and conversion factor of 0.619489. The size of the futures contract is €100,000.
这道题的解答我大致理解,我的问题是:
1. Euro-Bund Futures Price和CTD Bond price的关系是什么?我们是在用Futures hedge, 为什么计算BPV要用bond price呢?
2. 我算了一下Bond price / conversion factor = 98.14 / 0.619489 = 158.42,也不完全等于futures price 158.33。所以差的部分是basis?原版书有句话是:The pricing discrepancy between the price of the cash security and that of the fixed-income futures is the basis. 请问这句话怎么理解?
3. 计算BPV用的是bond duration, 那Euro-bund futures 有duration吗?