NO.PZ2019070101000047
问题如下：
An asset manager wants to hedge the interest risk of a short position on the 10-year bond whose DV01 is 0.0619, and a 5-year T-bond with a DV01 of 0.0285 is avaliable to use. The manager has to:
选项：
A.
Buy $46.04 of the 5-year T bond.
B.
Sell $46.04 of the 5-year T bond.
C.
Buy $217.19 of the 5-year T bond.
D.
Sell $217.19 of the 5-year T bond.
解释：
C is correct
考点：DV01 hedge.
解析：
已知原本的头寸为short10y债券 DV01=0.0619，想要用5y DV01=0.0285的债券来对冲掉原本的头寸的风险，问manager应该怎么做？
目标是使得组合价格的变动=0，
- DV0110y * Price 10y+DV015Y * Price 5y =0，
-0.0619*Price 10y+0.0285*Price 5y =0
Price 5y =0.0619*Price 10y/0.0285=2.1719Price 10y
代表想要对冲掉1$short position的10y债券的头寸，需要long 2.1719$的5y债券，答案选C
为什么要多乘100？
