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