NO.PZ2018113001000033
问题如下：
A $100 million portfolio is allocated 60% to bonds and 40% to stocks. The bond portion is allocated 80% to government bonds and 20% to corporate bonds. The stocks portion is allocated 80% to domestic stocks and 20% to international stocks. The manager wants to change the total portfolio to 70% to bonds and 30% to stocks and remain the same allocation within stocks portion and bond portions. Which swap is least likely to be used to achieve the target?
选项：
A. receive return on government bonds on $8 million, pay return on domestic stock on $8 million
B. receive return on corporate bonds on $2 million, pay return on international stock on $2 million
C. receive return on corporate bonds on $8 million, pay return on international stock on $8 million
解释：
C is correct.
考点：equity swap
解析：
现在有60M投资于债券，40M投资于股票。
在60M的债券中，有48M投资于government bonds，12M投资于corporate bonds。
在40M的股票中，有32M投资于domestic stock，8M投资于international stocks。
目标是：70M投资于债券，30M投资股票。
在70M的债券中，有56M投资于government bonds，14M投资于corporate bonds。
在30M的股票中，有24M投资于domestic stock，6M投资于international stocks。
因此，总的来说，应该：
增加10M债券，其中government bonds增加8M，corporate bonds增加2M。
减少10M股票，其中domestic stock减少8M，international stocks减少2M。
所以应该进入两个互换合约，
一个是NP为8M，receive return on government bonds, pay return on domestic stock
另一个是NP为2M，receive return on corporate bonds, pay return on international stock
题目问的是最不可能的一项，所以选C。
remain the same allocation in bond and stock意思是stock内部和bond内部比例维持不变吗？