金程問(wèn)答
An active fixed - income manager holds a portfolio of commercial and residential mortgage - backed securities that tracks the Bloomberg Barclays US Mortgage - Backed Securities Index .Which of the following choices is the most relevant portfolio statistic for evaluating the first - order change in his portfolio ' s value for a given change in benchmark yield ? A Effective duration B Macaulay duration C Modified duration
An ' analyst manages an active fixed - income fund that is benchmarked to the Bloomberg Barclays US Treasury Index . This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years . The yield curve is upward - sloping and expected to remain unchanged . Which of the following is the least attractive portfolio positioning strategy in a static curve environment ? A、 Purchasing a 10- year zero - coupon bond with a yield of 2% and a price of 82.035 B 、Entering a pay - fixed ,30- year USD interest rate swap C、 Purchasing a 20- year Treasury and financing it in the repo market
沖刺筆記上，第106頁(yè)的擴(kuò)展：為什么做空l(shuí)ibor就是fixed rate - 2*LIBOR？那同理做多LIBO,為什么不是2*LIBOR - fixed rate. 2)倍數(shù)2為什么是用做多/R
課后題，簡(jiǎn)答題，第二問(wèn)，請(qǐng)問(wèn)表格第4列是不是Money dur(寫(xiě)錯(cuò)了？)。如果是的話，portfolio 2的值不是小于所需的money dur么，那為什么說(shuō)三個(gè)都滿足呢？是因?yàn)椴罹鄾](méi)有超過(guò)5%么？
Dispersion和convexity之間的聯(lián)系有什么方式可以直觀理解
為什么stable economic下，active mgmt就要增加duration呢？
推導(dǎo)過(guò)程中有個(gè)地方不太明白：為什么asset horizon等于liability duration?聽(tīng)了幾遍視頻都跟不上老師的思路。
在duration matching 策略中，負(fù)債端一定需要是一個(gè)零息債券的負(fù)債？為什么？付息的就不行？
我要怎么判斷外匯的影響是加0.65%,還是乘(1+0.65%)-1呢？
trade at的意思是買(mǎi)入？forward rate bias是指預(yù)期利率和實(shí)際利率有差，可以買(mǎi)低賣(mài)高？
麻煩再解釋下Z-spread的意思，公式里面既有Z1、Z2、Z3。。。又有Z，需要怎么把Z計(jì)算出來(lái)呢？以及CDS basis的意義是什么？
這里不是說(shuō)瞬時(shí)下降50bps，那為什么LGD*POD不用*t/T，調(diào)整為0呢？
課后第一個(gè)case，第一題：?jiǎn)柕氖莊or coupon payment的，是不是只用看floating-coupon就行了？
rolling yield 從字面意思上看不是只包含roll down return么？
公式里面明明是Mod Dur*Δyield ，為什么計(jì)算用的是effective duration, ,題目給的也是effective duration? Mod Dur和effect ive dur可以混用？不理解
程寶問(wèn)答
