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二三六七七九九 · 2021年09月19日

官网  答案解释是啥意思?

Silver considers alternatives to a cash bond portfolio for hedging the liabilities because he is concerned that as time passes and market conditions change, the initially established hedging program may drift from target levels. Some of his clients with DB plans are underfunded and have interest rate hedge ratios well below 100%. These clients expect rates to rise, and should their view prove correct, the duration gap will improve funded status. He believes these clients should at least consider a costless derivative position to protect from rates falling further if their view is incorrect while also increasing the hedge ratio if rates rise. Q. What contingent strategies would Shrewsbury’s DB clients most likely enter into under the scenario he outlines? Short a receiver swap Long a payer swaption, short a receiver swaption Long a receiver swaption, short a payer swaption Solution C is correct. The plan is not fully funded and is also not fully hedged; that is, the money durations of the assets and liabilities are not matched. If the clients’ view is incorrect and rates fall further, the mismatch will result in the liabilities increasing in value while the assets will appreciate by a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption would allow the plan to receive a fixed (higher) rate if rates rally, but at the cost of the swaption premium. To finance this receiver swaption, the DB plan can sell a payer swaption to collect a premium that finances the receiver swaption. If rates rise above some level, the plan would increase its duration by virtue of being put a swap. The plan may have anticipated closing the duration gap at higher interest rate levels, so being put a swap is in line with an LDI program.
二三六七七九九 · 2021年09月19日

技术应该看下,打的换行符一提交就会被默认删掉,系统bug吧?

2 个答案

pzqa015 · 2022年01月18日

嗨,努力学习的PZer你好:


这句话的意思是:

short payer swaption有正的duration,故short payer swaption可以增加资产端的duration(BPV),让资产端现货+期货的BPV与负债端的BPV差距缩小,所以,可以short payer swaption。

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pzqa015 · 2021年09月22日

嗨,从没放弃的小努力你好:


现在客户DB plan的状态是underfunded且hedge ration<100%(资产BPV<负债BPV),如果客户对收益率曲线预期正确(收益率上行),那么资产价值下跌少,负债价值下跌多,funded status会改善;如果收益率曲线预期错误(收益率下行),那么资产价值上涨少,负债价值上涨多,funded status会进一步恶化。所以,要用swaption来管理duration gap,swaption本质是一个option,对于long position来说,如果未来预期对自己有利,则行权获利,否则不行权,损失是premium,对于short position来说,如果未来对long position有利,则short position要被动行权,有损失,如果未来对long position不利,则short position不用行权,赚取premium,也就是说,long option一方理论上损失有限,收益无限;short option一方理论上损失无限,收益有限。有了这个背景,来看swaption。

Swaption分为receiver swaption与payer swaption:

receiver swaption是约定未来进入receive fixed,pay float的swap的option,如果未来利率下跌,long的一方会行权获利,short一方有亏损,如果未来利率上涨,则long一方不会行权,损失期权费,short一方赚取期权费;payer swaption是约定未来进入pay fixed,receive float的swap的option,如果未来利率上涨,long 一方会行权获利,short一方有亏损,如果未来利率下跌,则long一方不会行权,损失期权费,short一方赚取期权费。

 

S同学建议客户用衍生品保护利率下跌风险,既然是想为某种风险提供保护,则肯定是long头寸(获得主动权),根据上面的分析,应该long receiver swaption。同时,要costless(省钱),所以,可以short 一个 swaption,用赚到的期权费来抵消long receiver swaption的期权费,利率下降时,short payer swaption不会被动行权,所以,应该用long receiver swaption+short payer swaption。Short a receiver swap在利率下跌时要被动行权,起不到保护作用,排除。

Long a payer swaption在利率上涨时获利,现在的portfolio本身就是在利率上涨时更好,所以没有必要额外花期权费买一份payer swaption,排除。


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闫珅考试必过 · 2022年01月17日

答案解释中有一句话是,If rates rise above some level, the plan would increase its duration by virtue of being put a swap. The plan may have anticipated closing the duration gap at higher interest rate levels, so being put a swap is in line with an LDI program 要怎么解释呢。

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