NO.PZ202208100100000301
问题如下:
The number of Treasury futures contracts Tryon needs to hedge the interest rate exposure in the corporate bond portfolio is closest to:
选项:
A.
47
B.
54
C.
63
解释:
Solution
A is correct.
First, calculate the BPVP (basis point value) of the portfolio to be hedged:
BPVP = MDURP × 0.01% × MVP = 7.50 × 0.0001 × 10,000,000 = 7,500.
Second, calculate the BPVCTD of the hedging contract hedging instrument:
BPVP = MDURCTD × 0.01% × MVCTD = 8.30 × 0.0001 × [(144.20/100) × 100,000] = 119.69.
Third, the number of futures contracts needed to hedge the portfolio = BPVHR (basis point value hedge ratio):
BPVHR= (BPVT-BPVp / BPVCTD)×conversion factor=(0-7,500/119.69)×0.7455=46.71≈-47
中文解析:
本题考察的是用债券期货来管理管理利率风险。
考察的公式为
注意题干中的报价144.20是以面值100进行报价的,因此在求其MV时,要先除以100然后再乘以合约规模100,000.即MVCTD=(144.20/100) ×
100,000。
这题的144.2 需要如何判断要➗100 谢谢