NO.PZ2020011303000215
问题如下:
What protection is provided by (a) DV01 hedging, (b) effective duration hedging, and (c) effective duration plus convexity hedging?
解释:
DV01 and effective duration hedging provide protection against small parallel shifts in the term structure. Effective duration plus convexity provides protection against larger parallel shifts.
题目问:a)DV01对冲,b)effectiveduration对冲,以及c)effectiveduration加convexity对冲,带来的保护都是什么?
DV01 和 effective duration对冲可以保护利率小幅平行移动所带来的价格变化。Effectiveduration 加convexity对冲可以保护利率大幅平行移动带来的价格变化。
请问这是哪的知识点。。。平行和非平行