NO.PZ2018113001000027
问题如下:
A portfolio manager has a $200 million bond portfolio, he wants to reduce the duration from 5 to 4 by using a swap. There are two swaps, a one-year swap with an average modified duration of -0.625,and a two-year swap with an average modified duration of –1.25。
1.Should the manager enter into a payer swap or receiver swap?
2. Which swap the manager would prefer and determine its notional principal.
选项:
A.Payer swap and NP=160 million
B.receiver swap and NP=160 million
C.Payer swap and NP=320 million
解释:
A is correct.
考点:Interest Rate Swap: Adjust the Duration
解析:
现在希望降低duration,所以应该进入一个duration为负数的swap,即payer swap我们需要判断应该prefer哪个swap?判断的依据是为了达到目标的duration,哪个swap需要名义本金越少,我们就应该更prefer哪个swap。根据公式:
Swap的duration越大,需要的NP就越少,因此我们需要选择一个duration绝对值更大的一个swap
第二个swap的duration绝对值更大,因此应该选第二个swap,它的NP计算如下:
老师好 选用哪个期限的swap,有哪些结论? 之前的答案没看懂 (复制在下面)。是否可以理解为就是选duration小的那个,因为可以节约成本?谢谢
duration of payer swap= - duration of fixed + duration of floating(其中浮动端的久期一般默认为reset period的一半,或者题目会给出是按照reset period的多少来计算;固定端的久期,题目也会给到是按照怎样的规则来计算)
比如很早之前的考纲说固定端duration =3/4 maturity;浮动端的duration=1/2 reset period。