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One question I have to respond before Monday, but I have no idea. anyone can helps, thanks.

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What is the capital requirement on a portfolio of $100 Million adjustable rate mortgages hedged with 50% 2 year swaps and 50% 3 year swaps. You may assume the values of any required data. Also, assume that you are using current coupon 2 and 3 year swaps. Please provide a detailed description of your methodology.

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关键词：Interview question inter Quest Inte Interview Help question

哪里的变态题目？
ARM那么复杂的条款还要自己设？
还有，既然有段Months before the first adjustment,那么在这段时期内肯定是risk free
用swap怎么hedge？
感觉理论上需要用两个进入时期不同的swaption才可以实现

我一直都在怀疑

现在的人力资源部的家伙

是垃圾还是变态！

up