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小壹万万呀 · 2021年05月06日

问一道题:NO.PZ2019070101000055 [ FRM I ]

问题如下:

An asset manager wants to hedge the interest risk of a bond position with a 5-year key rate exposure of $9.84. A hedge instrument that has a corresponding 5-year key rate exposure of 4.12 per $100 of face value is avaliable, the amount of face value would be used to hedge is close to:

选项:

A.

$41.87.9

B.

$65.54.

C.

$238.83.

D.

$299.83

解释:

C is correct

考点:Key Rate ‘01s and Durations

解析:

(4.12/100) ×f=$9.84

f=$238.83

不是问的hedge吗?怎么是用key rate 01?没懂这题,麻烦解答一下,谢谢
1 个答案

小刘_品职助教 · 2021年05月06日

同学你好,

hedge的原理就是保持key rate01为0,所以假设面值为F 则有,

(4.12/100) ×F+9.84=0,F=238.83