target bpv

NO.PZ201601050100001701 问题如下 Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to fully hee Portfolio A is closest to: A.650. B.743. C.1,026. B is correct. The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), in the specicase of complete heing, provis the number of futures contracts nee calculatefollows:BPVHR=−BPVPBPVCTCF=−$130,342.94$127.05×0.72382=−742.58BPVHR=\frac{-BPV_P}{BPV_{CT}\times CF=\frac{-\$130,342.94}{\$127.05}\times0.72382=-742.58BPVHR=BPVCT−BPVP​​×CF=$127.05−$130,342.94​×0.72382=−742.58中文解析本题考察的是使用债券期货合约调节组合的ration。题干信息说想要完全对冲掉利率的影响，因此BPVT=0，直接带入公式BPVHR=−BPVPBPVCTCFBPVHR=\frac{-BPV_P}{BPV_{CT}\times CFBPVHR=BPVCT−BPVP​​×CF，计算即可。注意最后的结果742.58需要四舍五入取整数，负号代表short，因此需要sell 743份合约。 100,000的contrasize有什么用？

NO.PZ201601050100001701 BPV为什么不等于MMV*1bp

NO.PZ201601050100001701 basis point value 是指什么