loveshihongyu
2020-03-15 23:02老師您好， 我想問一下P164那個例題， P167說face value of 10-year note futures是1.2million, 我不知道這個face value 是怎么得到的。 謝謝！
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2020-03-16 14:04
該回答已被題主采納
同學(xué)你好
這個條件是原版書直接給出的條件，不是讓你計算的。你可以參考原版書V4-149頁。
Notice how these answers are consistent with the previous futures example. In that example, we had to add approximately 12 contracts, or $1.2 million face value. Using 10-year swaps, we would add $1.1 million. This slight difference arises because the futures contract was tracking a “cheapest to deliver” that is slightly shorter than the 10-year note. Naturally, the 20-year swaps have more volatility than the 10-year swaps, and a lower face amount would be needed for the same exposure. Similarly, the lower-volatility five-year swap would have to be added in larger size to achieve the same exposure.
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