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Lay You Lum · 2022年03月05日

basis point value

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100001701

问题如下：

Based on Exhibit 1, the number of Treasury futures contracts Whitacre should sell to fully hedge Portfolio A is closest to:

选项：

A.

650.

B.

743.

C.

1,026.

解释：

B is correct.

The basis point value of Portfolio A (BPVP) is $130,342.94, and the basis point value of the cheapest-to-deliver bond (BPVCTD) is $127.05 with a conversion factor of 0.72382. The basis point value hedge ratio (BPVHR), in the special case of complete hedging, provides the number of futures contracts needed, calculated as follows:

BPVHR=−BPVPBPVCTD×CF=−$130,342.94$127.05×0.72382=−742.58BPVHR=\frac{-BPV_P}{BPV_{CTD}}\times CF=\frac{-\$130,342.94}{\$127.05}\times0.72382=-742.58

中文解析：

本题考察的是使用债券期货合约调节组合的duration。

题干信息说想要完全对冲掉利率的影响，因此BPVT=0，直接带入公式

BPVHR=−BPVPBPVCTD×CFBPVHR=\frac{-BPV_P}{BPV_{CTD}}\times CF，计算即可。

注意最后的结果742.58需要四舍五入取整数，负号代表short，因此需要sell 743份合约。

basis point value 是指什么

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1 个答案

Hertz_品职助教 · 2022年03月06日

嗨，爱思考的PZer你好：


同学你好

BPV即basis point value，又可以叫做DV01，都一样哈，指的都是相对于初始价格，当利率向上或者向下波动1个基点也就是万分之一的时候，债券价格的变动。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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相关问题

NO.PZ201601050100001701 问题如下 Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to fully hee Portfolio A is closest to: A.650. B.743. C.1,026. B is correct. The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), in the specicase of complete heing, provis the number of futures contracts nee calculatefollows:BPVHR=−BPVPBPVCTCF=−$130,342.94$127.05×0.72382=−742.58BPVHR=\frac{-BPV_P}{BPV_{CT}\times CF=\frac{-\$130,342.94}{\$127.05}\times0.72382=-742.58BPVHR=BPVCT−BPVP​​×CF=$127.05−$130,342.94​×0.72382=−742.58中文解析本题考察的是使用债券期货合约调节组合的ration。题干信息说想要完全对冲掉利率的影响，因此BPVT=0，直接带入公式BPVHR=−BPVPBPVCTCFBPVHR=\frac{-BPV_P}{BPV_{CT}\times CFBPVHR=BPVCT−BPVP​​×CF，计算即可。注意最后的结果742.58需要四舍五入取整数，负号代表short，因此需要sell 743份合约。 为什么target bpv为0？

2023-04-06 16:30 2 · 回答

NO.PZ201601050100001701 问题如下 Baseon Exhibit 1, the number of Treasury futures contracts Whitacre shoulsell to fully hee Portfolio A is closest to: A.650. B.743. C.1,026. B is correct. The basis point value of Portfolio A (BPVP) is $130,342.94, anthe basis point value of the cheapest-to-liver bon(BPVCT is $127.05 with a conversion factor of 0.72382. The basis point value hee ratio (BPVHR), in the specicase of complete heing, provis the number of futures contracts nee calculatefollows:BPVHR=−BPVPBPVCTCF=−$130,342.94$127.05×0.72382=−742.58BPVHR=\frac{-BPV_P}{BPV_{CT}\times CF=\frac{-\$130,342.94}{\$127.05}\times0.72382=-742.58BPVHR=BPVCT−BPVP​​×CF=$127.05−$130,342.94​×0.72382=−742.58中文解析本题考察的是使用债券期货合约调节组合的ration。题干信息说想要完全对冲掉利率的影响，因此BPVT=0，直接带入公式BPVHR=−BPVPBPVCTCFBPVHR=\frac{-BPV_P}{BPV_{CT}\times CFBPVHR=BPVCT−BPVP​​×CF，计算即可。注意最后的结果742.58需要四舍五入取整数，负号代表short，因此需要sell 743份合约。 100,000的contrasize有什么用？

2022-11-15 15:58 1 · 回答

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