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问题如下：

Two hedging instruments are available with the exposures shown in the following table. What positions in the instruments should be taken to zero out the exposure of the portfolio in the previous question to the five- and ten-year key rate shifts?

选项：

解释：

Suppose that X₁ and X₂ are the positions in the two hedging instruments. We require

4X₁ + 2X₂ + 12 = 0

2X₁ + 2X₂ + 8 = 0

The solution to these equations is X₁ = −2 and X₂ = −2. We need to take a short position of two in each hedging instrument.