题目
If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1100. How many Eurodollar futures contracts are needed to hedge the portfolio?
选项
A.44
B.22
C.11
D.1100
答案
A
解析
Eurodollar futurescontracts are constructed so that the DV01 is always equal to $25 per contract.Therefore, we need 1100/25 = 44 contracts. 欧洲美元期货合约的特点是每个合约的DV01是等于25美元。因此，我们需要1100/25= 44个合同。