NO.PZ201601050100001802
问题如下:
One month later, Uff expects interest rates to rise. He decides to reduce the modified duration of the bond allocation of the Fund’s portfolio without selling any of its
existing bonds. To do so, Uff adds a negative-duration position by entering into an
interest rate swap in which he pays the fixed rate and receives the floating rate. Exhibit 2
presents selected data for the Fund’s bond allocation and the relevant swap contract.
Determine the required notional principal for the interest rate swap in order to
achieve the target modified duration for the portfolio.
选项:
解释:
The swap notional principal required to achieve the target portfolio modified
duration is calculated as follows:
herefore, Uff should enter into the selected three-year par pay-fixed, receive-floating interest rate swap with a notional principal of approximately €101,529,298.
中文解析:
本题考察的是使用利率互换来管理利率风险,带入上述公式计算即可,比较简单。
the required notional principal for the interest rate swap is 101529298
这样写可以吗?