2015/5 FRM1 PracticeExam 問題！求助！

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不太明白第15題。
A hedge fund manager wants to change her interest rate exposure by investing in fixed income securities with negative duration. Which of the following securities should she buy?
答案是C short marutity puts on zero-coupon bonds with long maturity.

why?

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關(guān)鍵詞：Practice practic Exam ACT CTI following investing interest manager change

xie xie share!!!!!!

well8257 發(fā)表于 2015-5-15 15:48
xie xie share!!!!!!

share啥了我。。。不懂啊

duration of option=option delta*duration of underlying*（price of underlying/price of the option）
put的delta為負(fù)，所以duration為負(fù)。