Matcha回答（1）
Cindy2020-02-17 16:26:33
Cindy同学你好，老师没有找到你说的那道课后题，可以麻烦你放上具体的题目吗
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Assume that a trader is making a relative value trade, selling a U.S. Treasury bond and correspondingly purchasing a U.S. Treasury TIPS. Based on the current spread between the two securities, the trader shorts $100 million of the nominal bond and purchases $89.8 million of TIPS. The trader then starts to question the amount of the hedge due to changes in yields on TIPS in relation to nominal bonds. He runs a regression and determines from the output that the nominal yield changes by 1.0274 basis points per basis point change in the real yield. Would the trader adjust the hedge, and if so, by how much?
A
No.
B
Yes, by $2.46 million (purchase additional TIPS)
C
Yes, by $2.5 million (sell a portion of the TIPS)
D
Yes, by $2.11 million (Purchase additional TIPS)
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同学你好，真的是万分抱歉，老师去找了讲义，也去找了习题集，都没有找到你说的第2道题还有第3道题，而这里你又只给出了一道题，老师还是没有办法去对比两道题，既然这样，老师就说说这种题的解题方法吧
正常情况下，我们对冲的目标是组合的价值变动为0 ，即delta y=0,.如果市场利率变化，一张债券亏的钱，另外一张债券要赚回来，使得整个投资组合不赚不亏，这样就达到了对冲目的。因此我们应该使用的公式应该是MD*P*deltaY,
至于你说的前面的那个公式，可能这里的DD对应的是1美元的名义本金的美元久期，再在后面乘上债券的价格，就可以对标到该张债券的美元久期，这其实就和我们前面说的MD*P*deltaY是一样的道理了呀
还是要向你道歉，由于我的个人原因，一直没找到你说的题，耽误了你的学习进度，sorry……
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