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