No.PZ2018113001000075 (选择题) 来源: 品职出题 Matthew, a junior analyst,

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：

652

651

745

解释：

B is correct

$BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33$

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。

请问这题如果没有给CTD的BPV，那么用Futures应该怎么计算呀

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1 个答案

pzqa31 · 2023年08月15日

嗨，爱思考的PZer你好：

先确定CTD债券，所以先知道BPV CTD，然后根据CTD的Conversion factor，我们可以计算出Futures BPV；在用Futures调整资产、负债两端的BPV gap时，使用Futures BPV。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2018113001000075问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652B.651C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures 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。为什么是除以128.88？为什么不是除以128.88/100*100,000*9*0.0001=115.992

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NO.PZ2018113001000075 问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652 B.651 C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures 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。如题

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