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JiangHan · 2023年03月15日

DV01的对冲问题

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2019070101000047

问题如下：

An asset manager wants to hedge the interest risk of a short position on the 10-year bond whose DV01 is 0.0619, and a 5-year T-bond with a DV01 of 0.0285 is avaliable to use. The manager has to:

选项：

A.

Buy $46.04 of the 5-year T bond.

B.

Sell $46.04 of the 5-year T bond.

C.

Buy $217.19 of the 5-year T bond.

D.

Sell $217.19 of the 5-year T bond.

解释：

C is correct

考点：DV01 hedge.

解析：

已知原本的头寸为short10y债券 DV01=0.0619，想要用5y DV01=0.0285的债券来对冲掉原本的头寸的风险，问manager应该怎么做？

目标是使得组合价格的变动=0，

- DV0110y * Price 10y+DV015Y * Price 5y=0，

-0.0619*Price 10y+0.0285*Price 5y =0

Price 5y =0.0619*Price 10y/0.0285=2.1719Price 10y

代表想要对冲掉1$short position的10y债券的头寸，需要long 2.1719$的5y债券，答案选C

请问HR是应该看作应该对冲的份数还是应该对冲的价格呢

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1 个答案

DD仔_品职助教 · 2023年03月16日

嗨，努力学习的PZer你好：


同学你好，

HR的概念是每1$原始头村需要多少$的hedge头村来对冲。

同学可以参考一下讲义例题对HR的理解

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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