利率下降导致资负缺口增大，因此需要在期末增加资产，惟有以较低约定利率long利率期货，才能在到期交割时实现现金流入，增加账户现金资产，缩小资负缺口，是这个意思么？
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
品职答疑小助手雍 · 2019年10月23日
同学你好，这题的宗旨就是消除利率变化对财务赤字的不利影响（Asset-liability不能再扩大了）。用简单的假设利率变化1%，来产生以上变化的等式，计算上比较方便。
首先要看利率如何变化会使赤字变大，那就看利率增加或减少1%，A - L这个差会变大还是变小。那么直接假设利率减小1%，得出asset增加4000*8.254=33016million，liability增加5000*6.825=34125。这时候A -L会变大1109（不好）。反之利率增加1%是好的，也就是利率增加是不用有应对措施。
要抹平这个变大的1109，就要买期货，这时候利率上升，期货价格也增加1109就可以了。也就是 一个contract价格*duration*contract数=1109million
68336*2.1468*contract数=1109million，得到需要买7559contract。
zgy · 2019年11月11日
你好，你在第三段说到要抹平这个变大的1109，就要买期货，这时候利率上升，期货价格也增加1109就可以了，但是第二段后面你说到利率增加不需要做对冲？我觉得是不是long的是bond futures，利率下降bond price上升，所以要long bond futures，而不是long interest rate futures？
品职答疑小助手雍 · 2019年11月11日
额。口误，利率下降时候要买期货，是long的bond future。
NO.PZ2016082404000023 问题如下 Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option. First Scenario SeconScenario A. nothingBuy 7,559 contracts B. nothingSell 7,559 contracts. C.Buy 7,559 contracts nothing. nothing nothing. ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559. 还是不理解为什么是第二个scenario 能具体下么
NO.PZ2016082404000023问题如下 Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option.First Scenario SeconScenarioA. nothingBuy 7,559 contractsB. nothingSell 7,559 contracts.C.Buy 7,559 contracts nothing. nothing nothing.ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559.请问是哪的知识点。。。
NO.PZ2016082404000023 问题如下 Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option. First Scenario SeconScenario A. nothingBuy 7,559 contracts B. nothingSell 7,559 contracts. C.Buy 7,559 contracts nothing. nothing nothing. ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559. 为什么场景2是long？
NO.PZ2016082404000023问题如下Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option.First Scenario SeconScenarioA. nothingBuy 7,559 contractsB. nothingSell 7,559 contracts.C.Buy 7,559 contracts nothing. nothing nothing.ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559.老师您好 这种题干特别长的题目一看就会有畏难心理，而且读了几遍也没太懂要怎么解，这种题有没有什么方法或者角度能进行求解
NO.PZ2016082404000023 你好 场景2的意思是利率下降吗，如果是的话，不应该short contract来对冲吗