李同學
2018-06-29 10:57請教這道題如何求解，是先求出swap的凈頭寸，再用eurodollar hedge嗎
所屬：FRM Part I 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
金程教育吳老師助教
2018-07-02 11:29
該回答已被題主采納
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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