張同學(xué)
2018-10-06 21:30John Holt is managing a fixed-income portfolio worth USD 10 million. The duration of the portfolio today is 5.9 years and six months六個(gè)月之后 it is expected to be 6.2 years. The 6-month Treasury bond futures contract is trading at USD 98.47. The bond that is expected to be cheapest-to-deliver has a duration of 4.0 years today and an expected duration of 4.8 years at the maturity of the futures contract. How many futures contracts should John short to hedge against changes in interest rates over the next six months? Each futures contract is for the delivery of USD 100,000 face value of bonds. A、157 contracts B、150 contracts C、131 contracts D、125 contracts 答案：C 老師，請(qǐng)問(wèn)這題為什么要用未來(lái)的久期
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 15:48
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學(xué)員你好。因?yàn)閔edge against changes in interest rates over the next six months 它想要對(duì)沖未來(lái)六個(gè)月的利率風(fēng)險(xiǎn)，所以要用未來(lái)的
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