老师您好，请问duration hedge是在哪里讲到的呀？

NO.PZ2019052801000041 问题如下 It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure? A.Long 95 contracts. B.Short 95 contracts. C.Long 98 contracts. Short 98 contracts. is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。 the ration of the unrlying benchmark treasury bonis 9 years.这个条件是给来干嘛的？

NO.PZ2019052801000041问题如下 It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure?A.Long 95 contracts.B.Short 95 contracts.C.Long 98 contracts.Short 98 contracts.is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。 怎么判断long还是short?

NO.PZ2019052801000041问题如下It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure?A.Long 95 contracts.B.Short 95 contracts.C.Long 98 contracts.Short 98 contracts.is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。 对冲工具的久期为什么用8。4。不用9？

NO.PZ2019052801000041 问题如下 It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure? A.Long 95 contracts. B.Short 95 contracts. C.Long 98 contracts. Short 98 contracts. is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。 如题

NO.PZ2019052801000041问题如下It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure?A.Long 95 contracts.B.Short 95 contracts.C.Long 98 contracts.Short 98 contracts.is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=-\frac{(\$10,000,000\times7.8)}{(\$100,000\times8.4\times95.0625\%)}=-98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。 ．It's June 2nana funmanager with US10 million investein government bon is concernethinterest rates will highly volatile over the next three months. The manager cis to use the September treasury bonfutures contrato hee the value of the portfolio. The current futures priis US95.0625, eacontrais for the livery of US100,000 favalue of the bon. The ration of the manager's bonportfolio in three months will 7.8 years, the cheapest to liver bon in the treasury bonfutures contrais expecteto have a ration of 8.4 years maturity of the contract. the maturity of the treasury bonfutures contract, the ration of the unrlying benchmark treasury bonis 9 years. Whposition shoulfunmanager unrtake to mitigate his interest rate risk exposure?A.Long 95 contracts.B.Short 95 contracts.C.Long 98 contracts.Short 98 contracts.is correct. 考点ration BaseHee解析N=−($10,000,000×7.8)($100,000×8.4×95.0625%)=−98N=−($100,000×8.4×95.0625%)($10,000,000×7.8)​=−98基金经理应该short 98份合约来进行对冲。