NO.PZ2023091802000097
问题如下：
A hedge fund has invested USD 100 million in mortgage-Backed securities. The risk manager is concerned about prepayment risk if interest rates fall. Which of the following strategies is an effective hedge against the potential loss due to a drop in interest rates?
选项：
A.Short forward rate agreement (FRA), long T-bond futures
B.Long FRA, short T-bond futures
C.Long FRA, long T-bond futures
D.Short FRA, short T-bond futures
解释：
When rates drop, the long position in the futures and the short
position in the FRA both gain.
我选的是C，答案是A，跟FRA有什么关系，没理解？已持有100m 资产，担心利率下降，bond价格上升，long bond .
答案A的对冲原理是什么？
