張同學(xué)
2018-10-06 10:48It is June 2 and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8years. The cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure? A、Short 94 contracts B、Short 96 contracts C、Short 98 contracts D、Short 105 contracts 答案：C 老師，請(qǐng)問(wèn)這題標(biāo)的資產(chǎn)的久期為什么用7.8年，而不用9年呢？
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
2018-10-08 15:00
該回答已被題主采納
學(xué)員你好?；鸾?jīng)理想要對(duì)沖3個(gè)月后的利率風(fēng)險(xiǎn)，所以要用未來(lái)的久期，7.8，而不是現(xiàn)在的久期
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