题目
Assume you own a security with a 2-year key rate exposure of $4.78, and you would like to hedge your position with a security that has a corresponding 2-year key rate exposure of 0.67 per $100 of face value. What amount of face value would be used to hedge the 2-year exposure?
选项
A.$478
B.$239
C.$713
D.$670
答案
C
解析
0.67/100 × F = $4.78,F = $713.430.67/100 × F = $4.78,F = $713.43