1個(gè)回答
金程教育吳老師助教
2018-08-01 10:22
該回答已被題主采納
學(xué)員你好。因?yàn)閚et DV01是正的，要使組合的DV01=0，所以要空頭
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
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回復(fù)：是short position的話，DV01的符號(hào)就是負(fù)；long position的話，DV01的符號(hào)就是正嗎？
