NO.PZ2018113001000076
问题如下:
Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US Treasuries。Matthew intends to decrease the portfolio’s modified duration to 3.00。
Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.
Based on Exhibit 1, to achieve Matthew’s objective, the number of Treasury futures contracts Matthew should sell is closest to:
选项:
A.440
B.441
C.398
解释:
B is correct
BPVT =MDurT × 0.0001 × MVP = 3×0.0001×120,349,000 = 36,104.70
Matthew should sell 441 Treasury bond futures 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?