问题如下图:
选项:
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解释:
请问rolled over的基差是如何体现的?
NO.PZ2019052801000028 问题如下 Whiof the following statements about basis risk is correct?Statement 1: Basis risk increases when futures contracts are rolleover, or livery te is before maturity te.Statement 2: A portfolio manager cis to hee against a two-yeT-bonwith the purchase of Treasury bill futures,he mexposeto basis risk. A.Statement 1 only. B.Statement 2 only. C.Both statement 1 anstatement 2 are correct. Neither statement 1 nor statement 2 is correct. C is correct. 考点Basis risk.解析当期货合约的到期日和现货的到期日不相同时,会增加基差风险。statement 1正确。用短期国债期货去对冲2年期国债也会导致基差风险,因为当利率变化时,二者的价格变化可能会不同步。statement 2 正确。 怎么理解现货的到期日,是指我想买入的时点?
NO.PZ2019052801000028 Statement 2 only. Both statement 1 anstatement 2 are correct. Neither statement 1 nor statement 2 is correct. C is correct. 考点Basis risk. 解析 当期货合约的到期日和现货的到期日不相同时,会增加基差风险。statement 1正确。 用短期国债期货去对冲2年期国债也会导致基差风险,因为当利率变化时,二者的价格变化可能会不同步。statement 2 正确。 题目只说了Treasury bill futures 没说短期长期吧
NO.PZ2019052801000028 roll over的目的不是将与unrlyng asset更加匹配的hee instrument做对冲吗,这样想应该换仓的时候会降低基差风险
NO.PZ2019052801000028 请问一下这道题里roll over是什么意思呢?