41.A risk manager is long a portfolio of non-callable bonds and wants to protect it against interest rate risk using two additional bonds, Bond A and Bond B. Given the following information, what positions would the risk manager have to take in Bond A and Bond B to create a portfolio immunized to small changes in the 5-year and 10-year key rate?
Key Rates 01s(USD 100 Face)
Bond A 5-year 0.0125 10-year n.a.
Bond B 5-year 0.0475 10-year 0.08
Portfolio 5-year 3.75 10-year 11.22
Bond A Bond B
A.long USD23,295 short USD14,025
B.short USD23,295 long USD14,025
C.long USD30,000 short USD23,788
D.short USD30,000 long USD3,788
The answer is Ｂ.
請問為什麼是Ｂ？ Bond A & Bond B 的利率變動不是和 Portfolio同向嗎？ 所以Bond B應該要是short? 如答案Ａ
