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akauw · 2024年10月22日

请问25是怎么来的

  1. FRM I
  2. Financial Markets And Products

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.)


请问25怎么来的，有点没找到

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1 个答案

李坏_品职助教 · 2024年10月22日

嗨，努力学习的PZer你好：


Eurodollar期货：

这个期货设计之初就定下了一个规则：1个basis point的报价变动 = 25美元。也就是1个basis point利率变动会带来Eurodollar期货价格变动25美元，这个加粗部分也就是DVBP = 25的意思。

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