题目

NO.PZ2018122701000082

问题如下：

Gabrielle, a trader, is about to set up a regression hedge.She would sell $500,000 of a Treasury bond and purchase TIPS as a hedge. According to historical figures, the DV01on the T-bond is 0.085, the DV01on the TIPS is 0.063, and the regression beta coefficient (hedge adjustment factor) is 1.1. How much TIPS should Gabrielle purchase?

选项：

$336,898.

$407,647.

$613,276.

$742,063

解释：

D is correct.

考点：Regression hedge

解析：

Defining $F^R$ and $F^N$ as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as $DV01^R$ and $DV01^N$ , a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follow:

$F^R=F^N\times{\lbrack\frac{DV01^N}{DV01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063$

如何判断谁是谁的1.1倍，如何判断回归里谁是自变量谁是因变量

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1 个答案

品职答疑小助手雍 · 2022年04月10日

同学你好，

原有的头寸P是 sell $500,000 of a Treasury bond，用来对冲的H是purchase TIPS

那么等式就是-500,000*DV01P*△yP+X*DV01H*△yH=0，另外△yP=beta**△yH

推出X=500,000*DV01P**△yP/（DV01H*△yH）带入beta即可。

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NO.PZ2018122701000082问题如下 Gabrielle, a trar, is about to set up a regression hee.She woulsell $500,000 of a Treasury bonanpurchase TIPS a hee. Accorng to historicfigures, the 01on the T-bonis 0.085, the 01on the TIPS is 0.063, anthe regression beta coefficient (hee austment factor) is 1.1. How muTIPS shoulGabrielle purchase? A.$336,898.B.$407,647.C.$613,276.$742,063 is correct.考点Regression hee解析fining FRF^RFR anFNF^NFN the faamounts of the reannominbon, respectively, antheir corresponng 01s 01R01^R01R an01N01^N01N, a 01 hee is austethe hee austment factor, or betfollow:FR=FN×[01N01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{01^N}{01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063FR=FN×[01R01N]×βFR=500,000×[0.0630.085]×1.1=742,063 01是和头寸相关的，如果题目给出01但说明头寸数量，一般默认01对应多少数量债券？？

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NO.PZ2018122701000082 答疑老师一直说的是β=用来hee的/需要被hee的。但是基础课视频该章节1.5倍速约8分30秒处，李老师提到自变量为用来hee的（因为很多），与本题解析矛盾。请问实际做题中以哪个为准？

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