问题如下：
Albert Henri is the fixed income manager of a large Canadian pension fund. The present value of the pension fund’s portfolio of assets is CAD 4 billion while the expected present value of the fund5s liabilities is CAD 5 billion. The respective modified durations are 8.254 and 6.825 years. The fund currently has an actuarial deficit (assets < liabilities) and Albert must avoid widening this gap. There are currently two scenarios for the yield curve: The first scenario is an upward shift of 25bp, with the second scenario a downward shift of 25bp. The most liquid interest rate futures contract has a present value of CAD 68,336 and a duration of 2.1468 years. Analyzing both scenarios separately, what should Albert Henri do to avoid widening the pension fund gap? Choose the best option.
选项：
解释：
ANSWER: A
We first have to compute the dollar duration of assets and liabilities, which gives, in millions,4,000×8.254=33,016 and 5,000×6.825=34,125, respectively. Because the DD of liabilities exceeds that of assets, a decrease in rates will increase the liabilities more than the assets, leading to a worsening deficit. Albert needs to buy interest rate futures as an offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559.
请问300羽老师，您的其中一个回答里面提的，分别算假设利率上涨或下跌1%。如图，所以利率减少1%，资产和负债缺口增大11.09M；利率增加1%，资产和负债缺口减少11.09M，没错吧？
