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1、CHAPTERFIFTY-SEVENCONTROLLINGINTEREST-RATERISKWITHFUTURESANDOPTIONSFRANKJ.FABOZZI,PH.D.,CFAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySHRIKANTRAMAMURTHYManagingDirectorRBSGreenwichCapitalMARKPITTS,PH.D.PrincipalWhiteOakCapitalManagementCorp.InChapter51thefeatu
2、resandcharacteristicsofinterest-ratefuturesandoptionswereexplained.Inthischapter,ourfocusisonhowthesederivativeinstrumentscanbeusedtocontroltheinterest-rateriskofaportfolio.CONTROLLINGINTEREST-RATERISKWITHFUTURESThepriceofaninterest-ratefuturescontractmovesintheoppositedirectionfromthech
3、angeininterestrates:whenratesrise,thefuturespricewillfall;whenratesfall,thefuturespricewillrise.Bybuyingafuturescontract,aportfolio’sexpo-suretoarateincreaseisincreased.Thatis,theportfolio’sdurationincreases.Bysellingafuturescontract,aportfolio’sexposuretoarateincreaseisdecreased.Equival
4、ently,thismeansthattheportfolio’sdurationisreduced.Consequently,buyingandsellingfuturescanbeusedtoalterthedurationofaportfolio.Whilemanagerscanalterthedurationoftheirportfolioswithcash-marketinstruments(buyingorsellingTreasurysecurities),usinginterest-ratefuturesThischapterisadaptedfroma
5、narticlebytheauthorsappearinginProfessionalPerspectivesonFixedIncomePortfolioManagement,Vol.1(NewHope,PA:FrankJ.FabozziAssociates,2000).1301Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1302PART7DerivativesandTheirApplicationsinsteadoftr
6、adinglong-termTreasuriesthemselveshasthefollowingthreeadvantages:Advantage1:Transactioncostsfortradingfuturesarelowerthantradinginthecashmarket.Advantage2:MarginrequirementsarelowerforfuturesthanforTreasurysecurities;usingfuturesthuspermitsgreaterleverage.Advantage3:Itiseasiertosellshort
7、inthefuturesmarketthanintheTreasurymarket.Futuresalsocanbeusedinconstructingaportfoliowithalongerdurationthanisavailablewithcash-marketsecurities.Forexample,supposethatinacer-taininterest-rateenvironmentapensionfundmanagermuststructureaportfoliotohaveadurationof15toaccomp
