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哦哦 · 2022年07月23日

原版书例题,addressing the duration gap中,关于75%hedge ratio是针对谁说的

题目是:Calculate the notional principal on the interest rate swap to achieve the 75% hedging ratio.

解析:

First calculate the notional principal needed to close the duration gap between assets and liabilities to zero using Equation 6.

Asset BPV + (NP × Swap BPV/100) = Liability BPV

Asset BPV is USD 528,384; Swap BPV is 0.1751 per 100 of notional principal; and Liability BPV is USD 1.215 million.

528,384 + (NP × 0.1751/100) = 1,215,000; NP = 392,127,927.

A 100% hedging ratio requires a receive-fixed interest rate swap having a notional principal of about USD 392 million.


我理解的要75%hedging ratio的话,那应该是hedge liability的75%,就是等式左边加起来一共是1215000x0.75=911250.但是答案是:对于swap 的NP乘以0.75.(见下)


For a hedging ratio of 75%, the notional principal needs to be about USD

294 million (= 392 × 0.75).

1 个答案

pzqa015 · 2022年07月23日

嗨,努力学习的PZer你好:


你理解的没问题,hedge ratio是100%还是75%,说的是BPV portfolio/BPV liability。这道题结题过程不严谨,虽然让swap的NP是75%fully hedge时的NP也能起到降低hedge ration的效果,但最终hedge ratio不一定是75%。

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