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鹏鹏 · 2024年01月15日

老师 这样答可以吗

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000033

问题如下：

One year later, a duration gap exists between the liability and the immunization portfolio. The future liability now has a present value of USD 91,732,436 and a modified duration of 8.867. The immunization portfolio has a market value of USD 92,749,570 and a modified duration of 9.107.

Zerbe closes this duration gap using a US Treasury note futures contract in a derivatives overlay strategy. Based on the cheapest-to-deliver bond she determines the basis point value (BPV) for one futures contract is USD 71.32.

B. Determine whether Zerbe should take a long or short position in the futures contracts. Calculate the number of futures contracts required to close the duration gap. Show your calculations. (2018 Q7)

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解释：

Determine whether Zerbe should take a long or short position in the futures contracts.

(circle one)

Long Short

Calculate the number of futures contracts required to close the duration gap.

To determine the number of futures contracts required to close the duration gap, compute the money durations for the liability and the immunization portfolio:

money duration = modified duration × market value

liability money duration = 8.867 × USD 91,732,436 = USD 813,391,510

immunization portfolio money duration = 9.107 × USD 92,749,570 = USD 844,670,334

The basis point values (BPVs) can then be calculated for the liability and the immunization portfolio:

BPV = money duration × 1 bp = money duration × 0.0001

liability BPV = USD 813,391,510 × 0.0001 = USD 81,339

immunization portfolio BPV = USD 844,670,334 × 0.0001 = USD 84,467

Calculate the number of futures contracts using the BPVs:

Nf ≈ 44 futures contracts

Since the money duration of the liability is less than that of the immunizing portfolio, Zerbe should short 44 futures contracts to close the duration gap.

the BPV of liability=MV*modified duration=91732436*8.867*0.0001=81339.1510

the BPV of the immunization portfolio=92749570*9.107*0.0001

so the number of futures=(91732436*8.867*0.0001-92749570*9.107*0.0001)/71.32=-43.857

so should take a short position, and the number of futures is 44.

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1 个答案

pzqa015 · 2024年01月15日

嗨，爱思考的PZer你好：


可以的。

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NO.PZ2023032703000033 问题如下 One yelater, a ration gexists between the liability anthe immunization portfolio. The future liability now ha present value of US91,732,436 ana mofieration of 8.867. The immunization portfolio ha market value of US92,749,570 ana mofieration of 9.107.Zercloses this ration gusing a US Treasury note futures contrain a rivatives overlstrategy. Baseon the cheapest-to-liver bonshe termines the basis point value (BPV) for one futures contrais US71.32.termine whether Zershoultake a long or short position in the futures contracts. Calculate the number of futures contracts requireto close the ration gap. Show your calculations. (2018 Q7) termine whether Zershoultake a long or short position in the futures contracts.(circle one)Long ShortCalculate the number of futures contracts requireto close the ration gap.To termine the number of futures contracts requireto close the ration gap, compute the money rations for the liability anthe immunization portfolio:money ration = mofieration × market valueliability money ration = 8.867 × US91,732,436 = US813,391,510immunization portfolio money ration = 9.107 × US92,749,570 = US844,670,334The basis point values (BPVs) cthen calculatefor the liability anthe immunization portfolio:BPV = money ration × 1 = money ration × 0.0001liability BPV = US813,391,510 × 0.0001 = US81,339immunization portfolio BPV = US844,670,334 × 0.0001 = US84,467Calculate the number of futures contracts using the BPVs:Nf ≈ 44 futures contractsSinthe money ration of the liability is less ththof the immunizing portfolio, Zershoulshort 44 futures contracts to close the ration gap. 老师好，题目中关于futures的CT样说的Baseon the cheapest-to-liver bonshe termines the basis point value (BPV) for one futures contrais US71.32.这个是指BPVctCF了嘛？

2023-08-21 23:06 1 · 回答