固收经典题4.1是通过short futures来hedge, 通过比较fully hedge所需futures份数推到出了under-hedge,老师的讲解中提到leaving net positive duration exposure to benefit from interest rate fall. 关于这点可否总结如下:
1.BPV(asset) < BPV(liability), long futures
1) If under-hedge->deficit, net negative duration exposure to benefit from interest rate rise. The unhedged part is liability side, to fall when rate rise
2) if over-hedge->surplus, net positive duration exposure to benefit from interest rate fall.
The unhedged part is asset side, to rise when rate falls
2.BPV(asset)>BPV(liability), short futures
1)If under hedge->more surplus, net positive duration exposure to benefit from interest rate fall. The unhedged part is asset side, to rise when rate fall
2) if over-hedge->deficit, net negative duration exposure to benefit from interest rate rise.
The unhedged part is liability side, to fall when rate rise