NO.PZ2022062761000023
问题如下：
A hedge fund manager wants to change the fund’s interest rate exposure by investing in fixed-income
securities with negative duration. Which of the following positions should the fund manager take?
选项：
A.A long position in a callable corporate bond
A long position in a puttable corporate bond
An interest rate swap paying fixed and receiving LIBOR plus a spread
An interest rate swap paying LIBOR plus a spread and receiving fixed
解释：
中文解析：
为了通过持有负久期头寸来改变利率敞口，经理需要投资于随着利率下降而价值下降（并且随着利率上升而价值上升）的证券。支付固定利率和接收 LIBOR 加上利差的利率掉期将随着利率上升而增加，因此 C 是正确的。尽管与其他相同的无期权债券相比，可赎回债券的赎回特征降低了债券的久期，但债券的总久期仍然为正。可回售债券的看跌特征也是如此。
In order to change the interest rate exposure by taking a position with negative duration,
the manager will need to invest in securities that decrease in value as interest rates fall
(and increase in value as interest rates rise). An interest rate swap paying fixed and
receiving LIBOR plus a spread will increase in value as interest rates rise, therefore C is
correct. Although the call feature of a callable bond decreases the bond’s duration in
comparison to an otherwise identical option-free bond, the overall duration of the bond
remains positive. The same is true of the put feature of a puttable bond.
如题
