2012 practice exam level 1 第22题

关于duration hedge, 计算optimal hedging ratio, 为什么不用现在的久期，而用到期时的久期？？
原题:
John Holt is managing a fixed-income portfolio worth USD１0 million. The duration of the portfolio today is 5.9 years and in six months it is expected to be 6.2 years. The 6-month Treasury bond futures contract is trading at USD 98.47. The bomd that is expected to be cheapest-to-deliver has a duration of 4.0 years today and an expected duration of 4.8 years ate maturity of the futures contract. How many futures contracts should John short to hedge against changes in interest rates over the next six months ?   
参考答案的计算用的久期是6.2和4.8，而不是5.9和4，不解。。。

因為題意是要規避六個月後的到期交割風險。

cause you're supposed to hedge against the interest rate risk over the next six months

over the next six month, 代表要规避的是在六个月内的利率风险，最接近的度量应该是现在的久期而非到期时的久期吧。还是不明白。

我觉得啊，题目里讲得duration of portfolio is expected to be 6.2, duration of the bond is expected to be 4.8.重点在expected, 既然已经对duration的预测值做出了估计，为什么不用对久期未来的预测值而用现在的值来计算呢？那不是白预测了。

看看