题目
A trader executes a $200 million 5-year pay fixed swap with one client (duration 4.36) and a $100 million 10-year receive fixed swap with another client (duration 7.66) shortly afterwards. Assuming that the 5-year rate is 4.75% and 10-year rate is 5.15% and that all contracts are transacted at par, how can the trader hedge his net delta position?
选项
A.Sell 424 Eurodollar future contracts
B.Buy 424 Eurodollar future contracts
C.Sell 6,552 Eurodollar future contracts
D.Buy 6,552 Eurodollar future contracts
答案
B
解析
「huixue_img/importSubject/1564169522859085824.png」(The DVBP or a Eurodollar future is 25)这个题是对冲的问题，但是有一些复杂，一般用duration就可以直接对冲，但是这里面给的不是直接的portfolio的duration。而且每个资产的资金量都是不一样的，这种时候我们一般都用DVO1来做。所以第一步就是算出两个资产各自的DV01，然后直接相加减，得出整个组合的DV01。然后用欧洲美元期货的DV01来进行对冲，一般把欧洲美元期货的DV01看做是25。