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toffee · 2023年05月24日

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NO.PZ202209060200004002

问题如下:

The most appropriate action given Puhuyesva’s views on interest rates and the information in Exhibit 1 would be to buy:

选项:

A.492 contracts. B.614 contracts. C.552 contracts.

解释:

Solution

B is correct.

The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by

(BPV liability - BPV asset) / Futures BPV

where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively).

In this case, Nf = (299,860243,376) / 102.30 =+552.1, where the plus sign indicates a long position in or buying 552 futures contracts.

Because the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. Therefore, more than 552 contracts should be bought.

A is incorrect because buying 492 contracts would leave the duration of assets lower than the duration of liabilities and the surplus would decrease if interest rates fall.

C is incorrect because buying 552 contracts would fully immunize the surplus and it would neither increase nor decrease if interest rates fall.

这道题实现 完全对冲 需要的期货合约数是522是, 题目背景说 预期 利率会下调,所以我们购买期货的合约份数就应该多点 以实现 over hedge 对吧? 但是答案中的数字是不是算不出来,只能说比 fully hedge 所需的合约份数要多?

1 个答案

pzqa015 · 2023年05月25日

嗨,努力学习的PZer你好:


没错,是这样的。

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努力的时光都是限量版,加油!

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NO.PZ202209060200004002 问题如下 The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy: A.492 contracts. B.614 contracts. C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. rate下降 PV liability会上升更多所以long 更多的futures对吗?但是asset不受rate上升的影响

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