一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury

一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury
一道CFA的题,关于interest rate future的,牛人请进,
Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury bond futures contract is available with duration = 6 years and a price of 99.125% of par.The appropriate YTM for your portfolio and futures contracts is 8%.
•1).Calculate number of futures contracts necessary to hedge IF you want to reduce portfolio’s duration to 5 years.
•2).Calculate number of futures contracts necessary to make the portfolio INSENSITIVE to increases in interest rates.

一道CFA的题,关于interest rate future的,牛人请进,Question 8 You believe that interest rate are going to increase and want to hedge your $300MM Treasury portfolio using interest rate futures.The portfolio has a duration = 8 years.A Treasury
$300MM理解为是$300 million,
1) (5-8)*300,000,000=6*99.125*n
n=1,513,240份
应当售出1,513,240份利率期货合约.
2) 要完全对冲利率风险,即duration降为零,则
(0-8)*300,000,000=6*99.125*n]
n=4,035,308份