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我爱荷包蛋 · 2024年08月06日

为什么不直接计算five-year note futures contracts的份数

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000040

问题如下：

Robinson also considers the use of derivatives to manage interest rate risk. This would be a new strategy for Bayside. Robinson determines the number of bond futures needed to immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio has a BPV of 44,000. To facilitate her analysis, Robinson compiles the additional information related to bond futures shown in Exhibit 1.

The number of five-year note futures contracts required to be sold in order to rebalance the immunizing portfolio is closest to (2020 mock PM):

选项：

A.

529 contracts.

B.

969 contracts.

C.

1101 contracts.

解释：

With derivative overlay strategies, in order to calculate the number of contracts needed, the futures BPV must be adjusted to reflect the conversion factor:

Futures BPV = Note BPV / Conversion Factor

47.22/0.88 = 53.66

Number of contracts = (Asset BPV – Liability BPV) / Futures BPV

(96,000 – 44,000)/53.66 = 969

老师好，我理解这里计算出来的Nf是标准报价futures的份数，为什么不直接计算实际用来做derivatives overlay的份数？是因为报价习惯的原因吗？谢谢！

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发亮_品职助教 · 2024年08月07日

实际就是用969份futures来close duration gap。


一份futures的面值就是100,000，题目表格说，面值是100,000的CTD债券的BPV是47.22

这其实就是告诉我们，一份futures就对应一份债券。这个债券47.22的BPV直接拿来用就可以计算一份futures的BPV。


如果一份futures对应10份债券的话，还需再额外乘以10转换倍数（CFA不涉及这个）。

所以一份futures的BPV为：一份债券的BPV47.22 / CF = 53.66


最终算出来的futures份数就是实际使用的份数。

我爱荷包蛋 · 2024年08月08日

明白了，谢谢发亮老师

发亮_品职助教 · 2024年08月08日

不用客气！

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NO.PZ2023032703000040 问题如下 Robinson also consirs the use of rivatives to manage interest rate risk. This woula new strategy for Baysi. Robinson termines the number of bonfutures neeto immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio ha BPV of 44,000. To facilitate her analysis, Robinson compiles the aitioninformation relateto bonfutures shown in Exhibit 1.The number of five-yenote futures contracts requireto solin orr to rebalanthe immunizing portfolio is closest to (2020 moPM): A.529 contracts. B.969 contracts. C.1101 contracts. With rivative overlstrategies, in orr to calculate the number of contracts nee the futures BPV must austeto reflethe conversion factor:Futures BPV = Note BPV / Conversion Factor47.22/0.88 = 53.66Number of contracts = (Asset BPV – Liability BPV) / Futures BPV(96,000 – 44,000)/53.66 = 969 一直很难区分哪个是ct哪个是futures，请老师讲解一下，谢谢。

2024-02-08 19:24 1 · 回答

NO.PZ2023032703000040问题如下 Robinson also consirs the use of rivatives to manage interest rate risk. This woula new strategy for Baysi. Robinson termines the number of bonfutures neeto immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio ha BPV of 44,000. To facilitate her analysis, Robinson compiles the aitioninformation relateto bonfutures shown in Exhibit 1.The number of five-yenote futures contracts requireto solin orr to rebalanthe immunizing portfolio is closest to (2020 moPM): A.529 contracts.B.969 contracts.C.1101 contracts. With rivative overlstrategies, in orr to calculate the number of contracts nee the futures BPV must austeto reflethe conversion factor:Futures BPV = Note BPV / Conversion Factor47.22/0.88 = 53.66Number of contracts = (Asset BPV – Liability BPV) / Futures BPV(96,000 – 44,000)/53.66 = 969 关于BPV per 100,000, 是直接除以47.22就可以吗有的题目还要除以1000或者啥，倍数这块比较迷糊。另外liabaility和asset的BpV是万，future是十万，感觉也不匹配呀

2023-08-14 11:46 1 · 回答