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FRM一级
包含FRM一级传统在线课程、通关课程及试题相关提问答疑;
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强化班讲义第47页的例题 题干是“an underlying exposure has a 5-year key-rate '01 of +$23,970. If this key rate exposure can be hedged by trading 5-year bond that itself has a 5-year key rate '01 of $0.048 per 100 face amount, what is the hedge trade”。老师说,这里理解为“持有一份5年期债券,所以应该是用short来对冲”,请问是如何能得出“题干里表示的是持有一份债券,而非short了一份债券”的结论? 如果利率提升,而债券价格不降反升的话,是否应该是short才对呢?
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