2022 Mock B Moneyness
老師，您好，利用smile做，是應(yīng)該做空什么樣的期權(quán)呀，謝謝啦，為啥機(jī)構(gòu)投資者要做不同的策略呢，題目如下Renita Murimi is a currency overlay manager and market technician who serves institutional investors seeking to address currency-specific risks associated with investing in international assets. Her firm also provides volatility overlay programs. She is developing a volatility-based strategy for Emil Konev, a hedge fund manager focused on option trading. Konev seeks to implement an “FX as an asset class” approach distinct to his portfolio to realize speculative gains and believes the long-term strength of the US dollar is peaking. / 問題Q. Describe how a volatility-based strategy for Konev would most likely contrast with Murimi’s other institutional investors. Justify your response.
老師，您好，第三題，調(diào)整beta到1.08，題目不是從1.45調(diào)整到1.08嗎，為啥是synthetic 投資beta1.08？
老師，您好，第二題這么答可以嗎Statement 1 is correct, because at the money delta's change is fastest Statement 2 is correct,In a bearish market, people fear more downside？謝謝啦
請(qǐng)問老師，衍生品書上173頁的example這里不太明白，A國相對(duì)于B國通脹增加，為什么不會(huì)使得A國利率增加，然后短期吸引capital導(dǎo)致匯率上升呢？通脹上升不是會(huì)推高名義利率嗎？還說說資本流動(dòng)只看實(shí)際利率呢？
第一題假設(shè)在三個(gè)月后賣出shares，為什么不是以三個(gè)月后EUR100的股價(jià)計(jì)算呢？
老師，您好receiver volatility swap無論什么時(shí)候都是，還是默認(rèn)收實(shí)際支付strike price；payer swap無論什么時(shí)候都是，還是默認(rèn)支固定收浮動(dòng)；total return swap payer無論什么時(shí)候都是，還是默認(rèn)支標(biāo)的資產(chǎn)實(shí)際收益？ 謝謝啦
請(qǐng)問可以解釋一下basis risk是什么意思嗎？ 以及在derivative/currency里面該怎么應(yīng)用呢？ 如果basis>0，應(yīng)該采取什么行動(dòng)呢？ 如果basis<0，應(yīng)該采取什么行動(dòng)呢？ 謝謝
2022 CFA mock A am Q3，第一問答案明顯不嚴(yán)謹(jǐn)吧，題上都沒有說昰long還是short，怎么能判斷是loss 還是gain？short就是gain呀？
cash equitization和pre invest場景有什么區(qū)別？
為什么只有25delta put可以完全消除風(fēng)險(xiǎn)，50的不行么
A long the 25-delta options and short the ATM option. 這里怎么 call 和 put 類型都不寫啊
還是沒太懂最后為啥要乘以100，182份，1分5.05 那成本不就是919么，這里跟股數(shù)已經(jīng)沒關(guān)系了呀
為啥要用110塊的執(zhí)行價(jià)格，題目也沒說啊，我不能用100塊的么，我還不能賣一個(gè)高的call么
第一問為什么只獲得本國無風(fēng)險(xiǎn)收益率？
程寶問答
金程問答