NO.PZ2023091701000035
问题如下：
A hedge fund manager who holds a portfolio of interest rate-sensitive positions has just received an economist’s report forecasting a significant shift in interest rates. Accordingly, the manager wants to change the fund’s interest rate exposure by investing in fixed-income securities with negative duration. Which of the following positions should the fund manager take?
选项：
A.A long position in a callable corporate bond B.A long position in a putable corporate bond C.An interest rate swap paying fixed and receiving LIBOR plus a spread D.An interest rate swap paying LIBOR plus a spread and receiving fixed解释：
C is correct. In order to change the interest rate exposure by taking a position with negative duration, the manager will need to invest in securities that decrease in value as interest rates fall (and increase in value as interest rates rise). An interest rate swap paying fixed and receiving LIBOR plus a spread will increase in value as interest rates rise.
A is incorrect. Although the call feature of a callable bond decreases the bond’s duration in comparison to an otherwise identical option-free bond, the overall duration of the bond remains positive.
B is incorrect. Similarly to a callable bond, the duration of a putable bond remains positive despite being lower than that of an otherwise identical option-free bond .
D is incorrect. An interest rate swap paying LIBOR plus a spread and receiving fixed will decrease in value as interest rates rise.
这道题还是没懂，做两遍还是错。没懂为什么利率互换，收固定，付固定，duration不一样呢？
