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yanan · 2024年10月08日

这里为啥不是除以1.1

NO.PZ2023100703000106

问题如下:

Gabrielle, a trader, is about to set up a regression hedge.She would sell $500,000 of a Treasury bond and purchase TIPS as a hedge. According to historical figures, the DV01on the T-bond is 0.085, the DV01on the TIPS is 0.063, and the regression beta coefficient (hedge adjustment factor) is 1.1. How much TIPS should Gabrielle purchase?

选项:

A.336898 B.407647 C.613276 D.742063

解释:

Defining FR and FN as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as DV01R and DV01N, a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follow:


这个beta 作为hedge instrument系数,为啥不是除以呢

1 个答案

pzqa27 · 2024年10月09日

嗨,努力学习的PZer你好:


这个是讲义上的公式

具体推导原理,同学可以参考下这个视频的这个位置

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