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[一级金融市场与产品] 老师tailed hedge 是什么意思，这道题可以解释一下吗
userld475h
发布于：2019-10-13 13:44:10
浏览307次 
FRM FRM Part I
FRM FRM Part I
In a FRA and/or interest rate swap portfolio which uses interest rate futures to hedge the
interest rate risk a tailed hedge means:
A. Adding a FRA to make up the difference between the futures hedge to the nearest
contract and the required hedge. This is most important for futures with large contract
sizes.
B. To shorten the duration of the portfolio.
C. To hedge negative convexity in the portfolio.
D. To allow for the interest received or paid on financing the margin on the futures contracts
i.e. allowing for the difference between futures and FRAs.
Answer: D
Because the futures contracts are marked to market with daily cash flows the value of these cash
flows is included in determining the hedge ratio.
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邹老师
发布于2019-10-14 11:08:21
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