Eric
2019-11-10 19:22老師您好，這道題目，課堂上老師給的第一種方法，后續(xù)怎么做？判斷久期方向，找出組合的ΔP，后面怎么再怎么做才能得出來是-4227，然后short 歐洲美元期貨呀？這道題感覺課上講的不是很清楚。謝謝老師。
所屬：FRM Part I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2019-11-11 18:25
該回答已被題主采納
同學(xué)你好，如下
Step 1. First swap is equivalent to a short position in a bond with similar coupon characteristics and maturity offset by a long position in a floating-rate note.
Its DV01 = 420 × 4.433 × 0.0001 = 0.186.
Step 2. Second swap is equivalent to a long position in a bond with similar coupon characteristics and maturity offset by a short position in a floating-rate note.
Its DV01 = 385 × 7.581 × 0.0001 = 0.291
Step 3. Net DV01 of portfolio = -0.186 + 0.291 = 0.105m = 105,683
Step 4. The optimal number is N* = -(DV01S)/(DV01F) = -105,683/25 = -4,227 (Note that the DVBP of the Eurodollar futures is about25)
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追問
老師好，后面這個(gè)方法二我明白，想問的是圖二所示的那個(gè)后面步驟是怎么做的？就是老師上課講的方法一
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追答
同學(xué)你好，就是一樣的方法：deltaY是0.0001.
用的就是DV01的計(jì)算
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