sensitivity只看绝对值不看利率方向

NO.PZ2022123002000067问题如下 TCMS, a meccollege, is also a client of NMSTCMS currentlyha two-yelooutstanng with a 5.5% fixeannuinterest rate. Bingexpects a cline in interest rates anaises TCMS to enter into a two-yearinterest rate swin whiTCMS woulpLibor + 0.5% anreceive a 5.5%fixerate. From TCMS's perspective, the ration of a two-yefixerate loanis –1.5 years anthe ration of a floating rate lois –0.125. Bing asks Torres,\"Cyou comment on the overall impaof the interest rate swonTCMS?\"Torres respon,\"The net effeof entering the swis to rethe interest ratesensitivity of the overall loplus swposition relative to the lobyitself. If the swis ae however, it will harr for TCMS to prectcash flows, anfrom this perspective, the swes not serve a gooee.\"IsTorres’ response to Bing most likely correct? A.No,he is incorreabout heing ability of the swapB.YesC.No,he is incorreabout the sensitivity of the overall position CorreAnswer: BTorres is correcton both accounts. The ration of the originlois –1.5. The fixeleg ofthe interest rate swha ration of 1.5, anthe ration of the variableleg of the swis –0.125. Thus, the ration of the overall position is–0.125. The overall sensitivity is rece The firm will finit harr toprecash flows, however, because the net exposure is to the variable Liborrate. Therefore, Torres is correththe swserves a poor hee fromthe perspective of precting cash flows. Interest sensitivity已经减少了，为什么还需要考虑是否能预测未来的现金流？我觉得题目中考虑的最后额外的方面本身就是不需要的。老师可以讲解一下成为Goohee的因素吗？

NO.PZ2022123002000067 问题如下 TCMS, a meccollege, is also a client of NMSTCMS currentlyha two-yelooutstanng with a 5.5% fixeannuinterest rate. Bingexpects a cline in interest rates anaises TCMS to enter into a two-yearinterest rate swin whiTCMS woulpLibor + 0.5% anreceive a 5.5%fixerate. From TCMS's perspective, the ration of a two-yefixerate loanis –1.5 years anthe ration of a floating rate lois –0.125. Bing asks Torres,\"Cyou comment on the overall impaof the interest rate swonTCMS?\"Torres respon,\"The net effeof entering the swis to rethe interest ratesensitivity of the overall loplus swposition relative to the lobyitself. If the swis ae however, it will harr for TCMS to prectcash flows, anfrom this perspective, the swes not serve a gooee.\"IsTorres’ response to Bing most likely correct? A.No,he is incorreabout heing ability of the sw B.Yes C.No,he is incorreabout the sensitivity of the overall position CorreAnswer: BTorres is correcton both accounts. The ration of the originlois –1.5. The fixeleg ofthe interest rate swha ration of 1.5, anthe ration of the variableleg of the swis –0.125. Thus, the ration of the overall position is–0.125. The overall sensitivity is rece The firm will finit harr toprecash flows, however, because the net exposure is to the variable Liborrate. Therefore, Torres is correththe swserves a poor hee fromthe perspective of precting cash flows. 这句话不是说收固定吗，那么ration会变大，sensitivity也会变大呀？

NO.PZ2022123002000067 问题如下 TCMS, a meccollege, is also a client of NMSTCMS currentlyha two-yelooutstanng with a 5.5% fixeannuinterest rate. Bingexpects a cline in interest rates anaises TCMS to enter into a two-yearinterest rate swin whiTCMS woulpLibor + 0.5% anreceive a 5.5%fixerate. From TCMS's perspective, the ration of a two-yefixerate loanis –1.5 years anthe ration of a floating rate lois –0.125. Bing asks Torres,\"Cyou comment on the overall impaof the interest rate swonTCMS?\"Torres respon,\"The net effeof entering the swis to rethe interest ratesensitivity of the overall loplus swposition relative to the lobyitself. If the swis ae however, it will harr for TCMS to prectcash flows, anfrom this perspective, the swes not serve a gooee.\"IsTorres’ response to Bing most likely correct? A.No,he is incorreabout heing ability of the sw B.Yes C.No,he is incorreabout the sensitivity of the overall position CorreAnswer: BTorres is correcton both accounts. The ration of the originlois –1.5. The fixeleg ofthe interest rate swha ration of 1.5, anthe ration of the variableleg of the swis –0.125. Thus, the ration of the overall position is–0.125. The overall sensitivity is rece The firm will finit harr toprecash flows, however, because the net exposure is to the variable Liborrate. Therefore, Torres is correththe swserves a poor hee fromthe perspective of precting cash flows. 问题1The ration of the originlois –1.5，是哪一句话的体现呢？上面不是说swap的固定利率就是是1.5而已吗？问题2为什么说是poor hee？对利率的敏感程度已经下降了

NO.PZ2022123002000067 问题如下 TCMS, a meccollege, is also a client of NMSTCMS currentlyha two-yelooutstanng with a 5.5% fixeannuinterest rate. Bingexpects a cline in interest rates anaises TCMS to enter into a two-yearinterest rate swin whiTCMS woulpLibor + 0.5% anreceive a 5.5%fixerate. From TCMS's perspective, the ration of a two-yefixerate loanis –1.5 years anthe ration of a floating rate lois –0.125. Bing asks Torres,\"Cyou comment on the overall impaof the interest rate swonTCMS?\"Torres respon,\"The net effeof entering the swis to rethe interest ratesensitivity of the overall loplus swposition relative to the lobyitself. If the swis ae however, it will harr for TCMS to prectcash flows, anfrom this perspective, the swes not serve a gooee.\"IsTorres’ response to Bing most likely correct? A.No,he is incorreabout heing ability of the sw B.Yes C.No,he is incorreabout the sensitivity of the overall position CorreAnswer: BTorres is correcton both accounts. The ration of the originlois –1.5. The fixeleg ofthe interest rate swha ration of 1.5, anthe ration of the variableleg of the swis –0.125. Thus, the ration of the overall position is–0.125. The overall sensitivity is rece The firm will finit harr toprecash flows, however, because the net exposure is to the variable Liborrate. Therefore, Torres is correththe swserves a poor hee fromthe perspective of precting cash flows. the ration of a two-yefixerate lois –1.5 years，receive 2years为啥是负的1.5？