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DDAXC · 2021年03月23日

nominal&real

  1. FRM II
  2. Market Risk Measurement And Management

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？

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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。

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