caramelhan2019-01-21 19:46:33

A hedge fund manager wants to change her interest rate exposure by investing in fixed-income securities with negative duration. Which of the following securities should she buy? 1.decrease in value as interest rates fall and increase in value as interest rates rise.？我记得当时讲的是D和R同向 和Y反向，为什么这里是R升，value也升？ 2.Zero coupon bonds with long maturity will increase in value as interest rates fall, so calls on these bonds will increase in value as rates fall ，but puts on these bonds will decrease in value。这句不明白，为什么R降，call值升，而put值是降？ 3.Interest-only strips from long maturity conforming mortgages will decrease in value as interest rates fall, so puts on them will increase in value。 为什么IO的duration是小于0？且是R降，value降？ 4.principal strips on these same mortgages will increase in value, so calls on them will also increase in value. 为什么PRN strips的D是大于0？R降，value升？ 谢谢