A HEDGE FUND MANAGER WANTS TO CHANGE HER INTEREST RATE EXPOSURE BY...
15.
A hedge fund manager wants to change her interest rate exposure by investing in fixed-income securities
with negative duration. Which of the following securities should she buy?
a.
Short maturity calls on zero-coupon bonds with long maturity
b.
Short maturity puts on interest-only strips from long maturity conforming mortgages
c.
Short maturity puts on zero-coupon bonds with long maturity
d.
Short maturity calls on principal-only strips from long maturity conforming mortgages