一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury
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![一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury](/uploads/image/z/11081435-59-5.jpg?t=%E4%B8%80%E9%81%93CFA%E7%9A%84%E9%A2%98%2C%E5%85%B3%E4%BA%8Einterest+rate+future%E7%9A%84%2C%E7%89%9B%E4%BA%BA%E8%AF%B7%E8%BF%9B%2CQuestion+8+You+believe+that+interest+rate+are+going+to+increase+and+want+to+hedge+your+%24300MM+Treasury+portfolio+using+interest+rate+futures.The+portfolio+has+a+duration+%3D+8+years.A+Treasury)
一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury
一道CFA的题,关于interest rate future的,牛人请进,
Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury bond futures contract is available with duration = 6 years and a price of 99.125% of par.The appropriate YTM for your portfolio and futures contracts is 8%.
•1).Calculate number of futures contracts necessary to hedge IF you want to reduce portfolio’s duration to 5 years.
•2).Calculate number of futures contracts necessary to make the portfolio INSENSITIVE to increases in interest rates.
一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury
$300MM理解为是$300 million,
1) (5-8)*300,000,000=6*99.125*n
n=1,513,240份
应当售出1,513,240份利率期货合约.
2) 要完全对冲利率风险,即duration降为零,则
(0-8)*300,000,000=6*99.125*n]
n=4,035,308份