NO.PZ2017121101000004
问题如下：
A US bond portfolio manager wants to hedge a long position in a 10- year Treasury bond against a potential rise in domestic interest rates. He would most likely:
选项：
A.sell fixed- income (bond) futures.
enter a receive- fixed 10- year interest rate swap.
sell a strip of 90- day Eurodollar futures contracts.
解释：
A is correct.
The portfolio manager would most likely use a longer-dated fixed- income (bond) futures contract to hedge his interest rate risk exposure. The choice of the hedging instrument, in fact, will depend on the maturity of the bond being hedged. Interest rate futures, like 90-day Eurodollar futures, have a limited number of maturities and can be used to hedge short-term bonds. The mark-to- market value of a receive- fixed 10- year interest rate swap will become negative if interest rates rises, and thus the swap cannot be used as a hedge in this case.
中文解析：
A选项：预期利率上升，对应bond价格下跌，所以sell fixed- income (bond) futures，即在bond下跌（利率上升）时获利。
B选项：进入一个收10年期固定利率的互换，由于利率在上升，意味着我们收到的在变少，所以不能获利。
C选项： Eurodollar
futures期限是90天，不适合用来对冲10年期债券。
你们的详解跟老师讲的有出入, 我想确认一下我的解释是否正确
sell fixed- income (bond) futures.
这是正确的, 利率上升我要降低duration, 所以sell fix能降低duration
enter a receive- fixed 10- year interest rate swap.
不正确, 应该是pay fix降低duration
sell a strip of 90- day Eurodollar futures contracts.
这个有问题, 我short futures应该是可以对冲利率上升风险的, 感觉这个选项也能选?
