老師，Reading 10， 原版書P159頁，最下方，“currency overlay”，我理解currency overlay分三種：第一種，是狹義的，僅僅是外包了外匯管理的職能，但這種方法也只是passive approach；第二種，是廣義的，這種雖然外包了外匯管理職能，也可以發(fā)揮manager的discretion，但是任然在predefined bounds去做外匯管理，并且所管理的currency必須是所投資外國資產所對應的currency；第三種，相對第二種對manager的自由度更高，可以自己選擇currency pairs，只要給portfolio帶來收益即可。我不知道我理解的對不對，如果我理解正確的話，那么currency overlay是不是，不單單指manager可以隨意選擇currecy pairs創(chuàng)利了吧？第二問題，但以上三種currency overlay方式都有一個共性，就是都是external management，老師以上兩個問題我理解的對嗎？雖然我們這個reading 主要關注第三種形式
官網題衍生23題，匯率104.15哪來了？ The data she uses for her assessment show that the US bonds pay 1.75% and Japanese bonds pay –0.40% annualized. She plans to fully hedge the currency risk. The YEN/USD spot rate is 106.85, the one-year YEN/USD forward rate is 106.12, and the one-year YEN/USD cross currency swap basis is –0.63.A is correct. Stuyvesant can sell US$10,000 converted at a spot rate of 106.85 to invest proceeds of ￥1,068,500 at –0.40%. After one year, the Japanese bonds are sold (1,068,500 × 0.9960 = 1,064,226.00) and converted at the forward rate of 104.15, for proceeds of US$10,218.20. The fund has earned 10,218.20/10,000 – 1 = 2.18%. The 2.18% yield is higher than the 1.75% she could have earned in US Treasury bills. The difference is due to the basis given a high demand for US dollars.
官網題23題答案A中，A is correct. Stuyvesant can sell US$10,000 converted at a spot rate of 106.85 to invest proceeds of ￥1,068,500 at –0.40%. After one year, the Japanese bonds are sold (1,068,500 × 0.9960 = 1,064,226.00) and converted at the forward rate of 104.15, for proceeds of US$10,218.20. The fund has earned 10,218.20/10,000 – 1 = 2.18%. The 2.18% yield is higher than the 1.75% she could have earned in US Treasury bills. The difference is due to the basis given a high demand for US dollars.104.15哪來的？
1 答案中forward rate 為什么是 104.15？ 2 如果按照F/S大于1+Rx/1+Ry 比較的話，應該賣X買Y，即賣JPY 買USD 3這里的swap basis 給出來有什么意義么？
精 怎么樣去利用 seagull 去exploit market views
精 Put spread 和 bear spread using put 區(qū)別在哪里呢？
在volatility smile章節(jié)中，Risk reversal是short put option (隱含波動率高估) long call option (隱含波動率低估)，形成的效果不是和collar相反嗎？為何在Currency management中有相同了？
Currently, about 90% of exchange rate exposures are hedged although the IPS allows a range of hedge ratios. 90%的敞口還是需要hedge, 所以我認為應該選C
百題case #7，Q1，老師，類似這種題目有沒有什么解題思路或者步驟可以follow的？
百題Case#2 Q2，請問為什么可以假設St=50？這是隨便假設的嗎？如果假設一個別的數字算出來的profit是不是就不一樣了？
Spot VIX是指站在當前時點未來30天的隱含波動率嗎？為什么不能直接投資？
nd2為什么不等于nd1-1？
第一題如果是用z option，為什么不用delta put計算而是用delta call？
Risk Revesal策略是針對Equity Option還是同時適用于Currency Option？在Put Option隱含波動率大于Call Option時，為何要選擇OTM的Option？
老師您好，官網模擬2的這道題怎么理解？
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