NO.PZ2018113001000027
问题如下:
A portfolio manager has a $200 million bond portfolio, he wants to reduce the duration from 5 to 4 by using a swap. There are two swaps, a one-year swap with an average modified duration of -0.625,and a two-year swap with an average modified duration of –1.25。
1.Should the manager enter into a payer swap or receiver swap?
2. Which swap the manager would prefer and determine its notional principal.
选项:
A. Payer
swap and NP=160 million
B. receiver
swap and NP=160 million
C. Payer
swap and NP=320 million
解释:
A is correct.
考点:Interest Rate Swap: Adjust the Duration
解析:
现在希望降低duration,所以应该进入一个duration为负数的swap,即payer swap我们需要判断应该prefer哪个swap?判断的依据是为了达到目标的duration,哪个swap需要名义本金越少,我们就应该更prefer哪个swap。根据公式:
Swap的duration越大,需要的NP就越少,因此我们需要选择一个duration绝对值更大的一个swap
第二个swap的duration绝对值更大,因此应该选第二个swap,它的NP计算如下:
题目没有说是currency swap,我们为什么要考虑NP的问题?