Fixed Income Secirites [推广有奖]

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qqqjohn 发表于 2017-3-13 07:33:58 |AI写论文

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You have a $100m bond portfolio with a duration of 10.You wish to completely hedge the interest-rate risk of this portfolios bybuying or selling 5-year swaps that have a notional value of $1m. Suppose theduration of 5-year par bonds is 4. How many swaps would you buy or sell to makethe DVO1 of the resulting portfolio0?