可同學(xué)
2018-08-23 17:59老師，這兩道題怎么判斷出來(lái)的是sell 還是 buy Eurodollar futures 的？
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
金程教育吳老師助教
2018-08-23 18:02
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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追問
答案我自己也會(huì)看。你給我講一下不行？
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追問
吳老師，你回答問題很敷衍啊
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追答
學(xué)員你好。題目要求hedge 過后組合沒有利率風(fēng)險(xiǎn)，即DV01=0，現(xiàn)在組合的DV01是105683，歐洲美元期貨DV01=25 代表一個(gè)basis point變動(dòng)，一份歐洲美元期貨價(jià)格變動(dòng)是25美元，要使DV01=0，-105683/25=-4227份合約，負(fù)號(hào)表示空頭
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