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 and as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as and , a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follow:
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?