问题如下:
Assume that a trader is making a relative value trade, selling a U.S. Treasury bond and correspondingly purchasing a U.S. TIPS. Based on the current spread between the two securities, the trader shorts $100 million of the nominal bond and purchases $89.8 million of TIPS. The trader then starts to question the amount of the hedge due to changes in yields on TIPS in relation to nominal bonds. He runs a regression and determines from the output that the nominal yield changes by 1.0274 basis points per basis point change in the real yield. Would the trader adjust the hedge, and if so, by how much?
选项:
A.No.
B.Yes, by $2.46 million (purchase additional TIPS).
C.Yes, by $2.5 million (sell a portion of the TIPS).
D.Yes, by $2.11 million (purchase additional TIPS).
解释:
The trader would need to adjust the hedge as follows:
$89.8 million x 1.0274 = $92.26 million
Thus, the trader needs to purchase additional TIPS worth $2.46 million.
您好,我看你的手写答案中的正负号和老师讲的方向不同,老师课程中讲的Sell取负号,Buy取正号,能帮忙解释一下吗,谢谢