开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

🧸苏小糖yb💚 · 2024年05月14日

这里两个利率没有用吗

NO.PZ2023091802000100

问题如下:

A trader executes a $420 million 5-year pay fixed swap (duration 4.433) with one client and a $385 million 10 year receive fixed swap (duration 7.581) with another client shortly afterwards. Assuming that the 5-year rate is 4.15% and 10-year rate is 5.38% and that all contracts are transacted at par, how can the trader hedge his position?

选项:

A.

Buy 4,227 Eurodollar contracts

B.

Sell 4,227 Eurodollar contracts

C.

Buy 7,185 Eurodollar contracts

D.

Sell 7,185 Eurodollar contracts

解释:

Step1. First swap is equivalent to a short position in a bond with similar coupon characteristics and maturity offset by a long position in a floating-rate note.

Its

Step2. Second swap is equivalent to a long position in a bond with similar coupon characteristics and maturity offset by a short position in a floating-rate note.

Its

Step3. Net DV01 of portfolio = -0.186+ 0.291 = 0.105m = 105,683

Step4. The optimal number is (Note that the DVBP of the Eurodollar futures is about 25.)


题目里两个利率有什么用

1 个答案

pzqa39 · 2024年05月14日

嗨,努力学习的PZer你好:


是的,给的这两个利率是干扰条件,是用不到的。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 148

    浏览
相关问题

NO.PZ2023091802000100问题如下 A trar executes a $420 million 5-yepfixesw(ration4.433) with one client ana $385 million 10 yereceive fixesw(ration7.581) with another client shortly afterwar. Assuming ththe 5-yerate is4.15% an10-yerate is 5.38% anthall contracts are transactepar,how cthe trar hee his position? A.Buy 4,227 EurollcontractsB.Sell 4,227 EurollcontractsC.Buy 7,185 EurollcontractsSell 7,185 Eurollcontracts Step1. First swis equivalent to a short position in a bonwithsimilcoupon characteristianmaturity offset a long position in afloating-rate note. Its Step2. Seconswis equivalent to a longposition in a bonwith similcoupon characteristianmaturity offset ashort position in a floating-rate note. Its Step3. Net 01 of portfolio = -0.186+ 0.291 =0.105m = 105,683 Step4. The optimnumber is (Note ththeof the Eurollfutures is about 25.) 请问25怎么来的,有点没找到

2024-10-22 12:58 1 · 回答

NO.PZ2023091802000100 问题如下 A trar executes a $420 million 5-yepfixesw(ration4.433) with one client ana $385 million 10 yereceive fixesw(ration7.581) with another client shortly afterwar. Assuming ththe 5-yerate is4.15% an10-yerate is 5.38% anthall contracts are transactepar,how cthe trar hee his position? A.Buy 4,227 Eurollcontracts B.Sell 4,227 Eurollcontracts C.Buy 7,185 Eurollcontracts Sell 7,185 Eurollcontracts Step1. First swis equivalent to a short position in a bonwithsimilcoupon characteristianmaturity offset a long position in afloating-rate note. Its Step2. Seconswis equivalent to a longposition in a bonwith similcoupon characteristianmaturity offset ashort position in a floating-rate note. Its Step3. Net 01 of portfolio = -0.186+ 0.291 =0.105m = 105,683 Step4. The optimnumber is (Note ththeof the Eurollfutures is about 25.) 如题

2024-05-01 23:53 1 · 回答