开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

DDAXC · 2021年03月23日

nominal&real

NO.PZ2018122701000082

问题如下:

Gabrielle, a trader, is about to set up a regression hedge.She would sell $500,000 of a Treasury bond and purchase TIPS as a hedge. According to historical figures, the DV01on the T-bond is 0.085, the DV01on the TIPS is 0.063, and the regression beta coefficient (hedge adjustment factor) is 1.1. How much TIPS should Gabrielle purchase?

选项:

A.

$336,898.

B.

$407,647.

C.

$613,276.

D.

$742,063

解释:

D is correct.

考点:Regression hedge

解析:

Defining FRF^R and FNF^N as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as DV01RDV01^R and DV01NDV01^N, a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follow:

FR=FN×[DV01NDV01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{DV01^N}{DV01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063

系数是1.1

代表yTreasury=1.1yTIPS

那么如果题目给的是nominal和real rate的比例的话,yTreasury是real rate还是nominal rate?

2 个答案

小刘_品职助教 · 2021年03月25日

同学你好,

TIPS在交易的时候其实也是名义利率,只是TIPS的投资者实际到手的是real rate,TIPS的名义收益率=实际收益率+之后的通货膨胀率,实际市场中是这样的,在hedge的时候还是用DV01更靠谱哈~

小刘_品职助教 · 2021年03月24日

同学你好,

题目正常应该不是会告诉你nominal和real rate的,因为没有什么意义,主要还是用DV01,如果不告诉算DV01的话,用nominal rate就行。

  • 2

    回答
  • 0

    关注
  • 732

    浏览
相关问题

NO.PZ2018122701000082问题如下 Gabrielle, a trar, is about to set up a regression hee.She woulsell $500,000 of a Treasury bonanpurchase TIPS a hee. Accorng to historicfigures, the 01on the T-bonis 0.085, the 01on the TIPS is 0.063, anthe regression beta coefficient (hee austment factor) is 1.1. How muTIPS shoulGabrielle purchase? A.$336,898.B.$407,647.C.$613,276.$742,063 is correct.考点Regression hee解析fining FRF^RFR anFNF^NFN the faamounts of the reannominbon, respectively, antheir corresponng 01s 01R01^R01R an01N01^N01N, a 01 hee is austethe hee austment factor, or betfollow:FR=FN×[01N01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{01^N}{01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063FR=FN×[01R01N​]×βFR=500,000×[0.0630.085​]×1.1=742,063 01是和头寸相关的,如果题目给出01但说明头寸数量,一般默认01对应多少数量债券??

2022-04-10 18:54 1 · 回答

NO.PZ2018122701000082问题如下 Gabrielle, a trar, is about to set up a regression hee.She woulsell $500,000 of a Treasury bonanpurchase TIPS a hee. Accorng to historicfigures, the 01on the T-bonis 0.085, the 01on the TIPS is 0.063, anthe regression beta coefficient (hee austment factor) is 1.1. How muTIPS shoulGabrielle purchase? A.$336,898.B.$407,647.C.$613,276.$742,063 is correct.考点Regression hee解析fining FRF^RFR anFNF^NFN the faamounts of the reannominbon, respectively, antheir corresponng 01s 01R01^R01R an01N01^N01N, a 01 hee is austethe hee austment factor, or betfollow:FR=FN×[01N01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{01^N}{01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063FR=FN×[01R01N​]×βFR=500,000×[0.0630.085​]×1.1=742,063 如何判断谁是谁的1.1倍,如何判断回归里谁是自变量谁是因变量

2022-04-10 18:30 1 · 回答

NO.PZ2018122701000082 答疑老师一直说的是β=用来hee的/需要被hee的。但是基础课视频该章节1.5倍速约8分30秒处,李老师提到自变量为用来hee的(因为很多),与本题解析矛盾。请问实际做题中以哪个为准?

2021-08-08 14:53 3 · 回答