level 2 关于 cap 和 floor practice, 答案

darkqueen

本来觉得自己思路很清楚的。但在practice exam volumn1 的第一套题里有一个问题，问怎么做一个collar。

 

因为他是买bond的一方，那我想，应该就是卖一个12%cap，买一个6%floor。因为利息下降了，有人付给我，利息上升了，我回吐一点利息给别人。

 

不过答案是反的。

 

答案说，利息上升了，所以bond price下降了，所以要买一个cap。。。

 

变成买一个cap，卖一个floor.

 

求解。。。

darkqueen

practice volume 1, exam 1, 35:

 

What would be the most appropriate way to construct an interest rate collar to hedge the fixed-rate protion of the portfolio using the 2-year 6% floor and a 2-year 12% cap

answer: sell the floor and buy the cap

 

答案是这么解释的：he is hedged partially against interest rate increases because when rates rise above 12%, and the value of the fixed-income portfolio falls, the cap will pay off. Selling the floor reduces his upside potential if rates fall below 6%,but he can offset some or all or the cost of the cap.

darkqueen

谢谢楼上。所以主要问题就是出在这个是fixed-rate bond了。