[一級金融市場與產(chǎn)品] 老師tailed hedge 是什么意思，這道題可以解釋一下嗎

userld475h 發(fā)布于：2019-10-13 13:44:10 瀏覽285次   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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鄒老師 發(fā)布于2019-10-14 11:08:21

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