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