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粉红豹 · 2020年02月24日

问一道题:NO.PZ2018113001000027

问题如下:

A portfolio manager has a $200 million bond portfolio, he wants to reduce the duration from 5 to 4 by using a swap. There are two swaps, a one-year swap with an average modified duration of -0.625,and a two-year swap with an average modified duration of –1.25。

1.Should the manager enter into a payer swap or receiver swap?

2. Which swap the manager would prefer and determine its notional principal.

选项:

A.

Payer swap and NP=160 million

B.

receiver swap and NP=160 million

C.

Payer swap and NP=320 million

解释:

A is correct.

考点:Interest Rate Swap: Adjust the Duration

解析:

现在希望降低duration,所以应该进入一个duration为负数的swap,即payer swap

我们需要判断应该prefer哪个swap?判断的依据是为了达到目标的duration,哪个swap需要名义本金越少,我们就应该更prefer哪个swap。根据公式:

NS=MVP(MDURTMDURPMDURswap)N_S=MV_P{(\frac{MDUR_T-MDUR_P}{MDUR_{swap}})}

Swap的duration越大,需要的NP就越少,因此我们需要选择一个duration绝对值更大的一个swap

第二个swap的duration绝对值更大,因此应该选第二个swap,它的NP计算如下:

NS=MVP(MDURTMDURPMDURswap)=$200,000,000(4.05.01.25)=$160,000,000N_S=MV_P{(\frac{MDUR_T-MDUR_P}{MDUR_{swap}})}=\$200,000,000{(\frac{4.0-5.0}{-1.25})}=\$160,000,000

请教下老师,为什么“哪个swap需要名义本金越少,我们就应该更prefer哪个swap”,应当如何理解这点?

1 个答案

xiaowan_品职助教 · 2020年02月25日

同学你好,我们选择NP更小的,这样资金占用成本就更小(因为交换的现金流都是基于NP的,NP越大,需要交换的现金流就越大)。

super31002 · 2020年02月29日

请问这个是书上的结论吗?是否当成统一的标准来记。如果swap期限不匹配,是否会带来其他风险

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