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hyi725 · 2023年08月13日

分不清条件

  1. CFA III
  2. Derivative

NO.PZ2018113001000075

问题如下：

Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US Treasuries。Matthew intends to fully hedge this bond portfolio against a rise in interest rates。

Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.


Based on Exhibit 1, the number of Treasury futures contracts Matthew should sell to fully hedge Portfolio W is closest to:

选项：

A.

652

B.

651

C.

745

解释：

B is correct

BPVHR=BPVT−BPVPBPVCTD×CF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33

Matthew should sell 651 Treasury bond futures contracts.

中文解析：

本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。

为什么这道题后面不需要 x S/f 也就是 100000/143.2 但是有的题目需要？

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1 个答案

pzqa31 · 2023年08月14日

嗨，从没放弃的小努力你好：


同学，这道题因为给了BPV，所以直接套公式就行了。本题中contract size 100,000是用不到的。


因为在求解需要多少合约份数的时候，使用的是CTD的BPV， BPV=MDur * MV* 1bp的。

而这个contract size是在求MV的时候才会用到的，一般情况下债券期货的报价是以面值100进行报价的，那么在求其MV的时候，需要先除以100，得到1块钱面值对应的报价，然后再乘以contract size。比如报价是95.45.那么需要先用95.45除以100然后再乘以100,000.


所以在本小题中这个contract size信息是用不到的哈。

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