fully hedged

NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries. Matthew inten to crease the portfolio’s mofieration to 3.00.Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures 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。 老师，您好！题中给出的128.88是债券期货的BPV吗？还是债券CTBPV?如果是债权期货的BPV，那么用债券期货调整债券组合的久期（或BPV）时，计算需要多少份期货合约的计算公式应该如下Nf = (BPV_T - BPV_P) / BPV_f，如果题目中的128.88是债券期货的合约，则代入计算得到(36104.7-111924.57) / 128.88 = -588.3。如果128.88是CT券的BPV, 则需要通过conversion factor转换计算对应债券期货的BPV_f = BPV_ct/ CF，那么计算需要多少份期货合约的计算公式应该如下Nf = (BPV_T - BPV_P) / (BPV_ct/ CF) = -441.22。题目中显然是把128.88当做CTBPV来处理的。但是128.88 = 143200 * 9 * 0.0001得到的，即应该是债券期货的BPV。那么到底该怎么理解呢？麻烦老师一下，谢谢！

NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries. Matthew inten to crease the portfolio’s mofieration to 3.00.Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures 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。 有点晕了，题目给出的久期9是CT久期，不是标准期货的久期，那请问标准期货的久期一般会给出吗？给出的形式是怎么样的呢？

NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries。Matthew inten to crease the portfolio’s mofieration to 3.00。Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures 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。 老师请问，如果用下面的这个公式来计算Number of bonfuture contracts, 其中P ct应该代入什么？Number of bonfuture contracts= (MR t - MR / MR f x MV p / (P ctcf)=(3-9.3)/9 x 120,349,000/(143.2/0.75)然后计算结果等于 - 441223

NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries。Matthew inten to crease the portfolio’s mofieration to 3.00。Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures 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。 想问一下这个题目的128.88是怎么得来的?

NO.PZ2018113001000076 问题如下 Matthew, a junior analyst, manages a portfolio W. The portfolio is fully investein US Treasuries。Matthew inten to crease the portfolio’s mofieration to 3.00。Exhibit 1 presents selecteta on Portfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver (CT bon Baseon Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew shoulsell is closest to: A.440 B.441 C.398 B is correctBPVT =MrT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70BPVHR=BPVT−BPVPBPVCTCF=36,104.70−111,924.57128.88×0.75=−441,22 spBPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{36,104.70-111,924.57}{128.88}\times0.75=-441,22 spBPVHR=BPVCTBPVT​−BPVP​​×CF=128.8836,104.70−111,924.57​×0.75=−441,22 spMatthew shoulsell 441 Treasury bonfutures 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。 老师您好，请问futures contraprice143.20，还有Mofieration=9以及contrasize$100,000什么时候计算会用到呢？