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).