可同学2018-08-23 17:59:16
可同学老师，这两道题怎么判断出来的是sell 还是 buy Eurodollar futures 的？
回答（1）
金程教育吴老师2018-08-23 18:02:14
金程教育吴老师Step 1. First swap is equivalent to a short position in a bond with similar coupon characteristics and maturity offset by a long position in a floating-rate note.
Its DV01 = 420 × 4.433 × 0.0001 = 0.186.
Step 2. Second swap is equivalent to a long position in a bond with similar coupon characteristics and maturity offset by a short position in a floating-rate note.
Its DV01 = 385 × 7.581 × 0.0001 = 0.291
Step 3. Net DV01 of portfolio = -0.186 + 0.291 = 0.105m = 105,683
Step 4. The optimal number is N* = -(DV01S)/(DV01F) = -105,683/25 = -4,227 (Note that the DVBP of the Eurodollar futures is about25)
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答案我自己也会看。你给我讲一下不行？
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吴老师，你回答问题很敷衍啊
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学员你好。题目要求hedge 过后组合没有利率风险，即DV01=0，现在组合的DV01是105683，欧洲美元期货DV01=25 代表一个basis point变动，一份欧洲美元期货价格变动是25美元，要使DV01=0，-105683/25=-4227份合约，负号表示空头
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