Hi Sir,
Can you explain how do we get 17.14M in option d?
Please briefly explain why you feel this question should be reported.
Please briefly explain why you feel this answer should be reported.
Please briefly explain why you feel this user should be reported.
Option d (17.14m) is wrong, question has 2 false statements b and d.
correct answer for option d is:
DV01 based hedge: 100*0.0530/0.0770 = $68.83
Regression based hedge: (100*0.0530/0.0770)*1.0940 = $75.30 (where 1.0940 is beta )
so difference b/w face amount of TIPS by both the hedges = $6.47
the answer is b, as its false.. all others are true hence, wanted to know how do we get to 17.14M as its true & there is no explanation for this as well.