赵同学2024-03-24 17:16:29

老师您好，请问官网题这里算出来是552 contracts，但选项却因为利率预期会下降，所以要买高于552contracts，我有些疑问，552已经fully immunization了，不论利率上涨还是下降都会刚好match上，为什么要因为利率预期下降而多配置一些futures？答案提到：Because the value of assets is more than 4% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. 为什么资产价值高于负债价值，duration就应该要greater than the duration of liabilities呢？