这里两个利率没有用吗

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.)