hoặc với một danh mục đầu tư trái phiếu khác phải có khả năng để tính toán như thế nào mỗi giá trái phiếu để thay đổi tỷ giá. Thứ hai, các nhà đầu tư với một cái nhìn về những thay đổi về lãi suất trong tương lai làm việc để xác định chứng khoán sẽ thực hiện tốt nhất nếu quan điểm của họ, trên thực tế, có được. | Choosing Key Rates 141 turity is the same as computing DV01. In other words the key rate exposures of the hedging securities equal their DV01s. To illustrate the convenience of par yield key rates with par hedging bonds suppose in the example of the previous section that the 10-year bond sold at par like the other three hedging bonds. In that case the hedging equations through reduce to the following simpler form F .98129 100 2 .04375 _ . 3 5 F 100 5 .08308 E M Fn 100 10 15444 . 7 F30 To compute the hedge amount in this case simply divide each key rate exposure by the DV01 per unit face value of the hedging bond of corresponding maturity. The disadvantage of using par yields particularly when combined with the assumption that intermediate yields are found by the lines drawn in Figure is that the changes in the forward rate curve implied by these yields changes have a bizarre shape. The problem is similar to that of the forward curve emerging from linear yield interpolation in Figure Kinks in the yield curve translate into sizable jumps in the forward curve. Changing key rates to spot rates has the same disadvantage. Setting key rates to forward rates naturally solves this problem The shifted forward curve is only as odd as the shapes in Figure . The problem with shifting forward rates is that spot rate changes are no longer local. Changing the forward rates from two to five years while keeping all other forward rates constant for example changes all the spot rates from two years and beyond. True the effect on a 30-year rate is much less than the effect on a five-year rate but the key rate interpretation of shocking one part of the term structure at a time is lost. Forward shifts will however be the more natural set of shifts in bucket analysis described in the next section. 142 KEY RATE AND BUCKET EXPOSURES With respect to the terms of the key rates it is clearly desirable to spread them out over the .
