11:02 (2X)
![](https://qa-prod.oss-cn-beijing.aliyuncs.com/user-dir/stu_96476/ZEPHSSGhAZ3ymQjA8k2NzK5Y5sDTbDT5_1710133335571.png)
老师,这部分我有个疑问,如图右下角,overhedge 和 underhedge是只看receive fixed swap的量来判定的吗?
因为swap 分为 receive fixed swap, receive floating swap, pay fixed swap, pay floating swap之分,
所以我想知道在判断是overhedge还是underhedge的时候,判断依据是哪个swap?
我的理解是需要分情况讨论,因为floating端的duration近似为0,所以我只需要盯着fixed那端,如果是receive fixed swap变多,就说明是overhedge, 如果是receive fixed swap变少,就说明是underhedge。
那如果是需要pay fixed swap呢?pay fixed swap的量上升是属于overhedge还是underhedge?pay fixed swap的量下降是属于overhedge还是underhedge?