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Infinite · 2020年03月03日

问一道题：NO.PZ2016082402000032

  1. FRM I
  2. Financial Markets And Products

问题如下：

A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio’s current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?

选项：

A.

Bear spread

B.

Strangle

C.

Collar

D.

Straddle

解释：

ANSWER: C

The manager is long a portfolio, which is protected by buying a put with a low strike price and selling a call with a higher strike price. This locks in a range of profits and losses and is a collar. If the strike prices were the same, the hedge would be perfect.

collar到目前为止，没有在课件中见到，还是我遗漏了？麻烦老师讲解一下collar，我是推了一下其他三个都是错误的，才选出collar的。

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1 个答案

orange品职答疑助手 · 2020年03月03日

同学你好，这个是原来题库里的题，之前考纲里还是有collar的应该，这期讲义我看了下，应该是删掉了。可以把这个当成是补充知识点来记一下吧~

它是持有现货的同时，买一个OTM的put同时卖一个OTM的call，以较低的成本防止较大损失，但同时因为卖了个OTM的call，当资产上涨较多时，也无法享受到上涨较多的那部分收益了（https://www.investopedia.com/terms/c/collar.asp）



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NO.PZ2016082402000032 A portfolio manager wants to hee his bonportfolio against changes in interest rates. He inten to buy a put option with a strike pribelow the portfolio’s current priin orr to proteagainst rising interest rates. He also wants to sell a call option with a strike priabove the portfolio’s current priin orr to rethe cost of buying the put option. Whstrategy is the manager using? BespreStrangle Coll Strale ANSWER: C The manager is long a portfolio, whiis protectebuying a put with a low strike prianselling a call with a higher strike price. This locks in a range of profits anlosses anis a collar. If the strike prices were the same, the hee woulperfect. collar的图形是不是和bull sprea样？ 区别是sprea都用call 或者 都用put，coll要用一个call一个put？

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Buy a put against rising interest rates ，不应该是价格跌了会有利吗？为什么要against rising？不应该是against 利率下跌吗？

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