volatility receiver swaption 是看漲volatility？收固定的V 支浮動V 我想把未來高波動率轉(zhuǎn)給對方 的意思 是嗎？
這里的推論沒看懂，麻煩老師幫忙解答一下。
這里的有無對沖作用，怎么理解？
精 原版書課后題 Reading9 第七題，沒有明白
不理解為什么用bond時BPVp等于0，題目相當(dāng)于股轉(zhuǎn)換成債，beta=0,Duration上升，為啥會等于0？
cash equitization的target beta是不是都是1？
為什么payer swap是降duration的？
精 百題case#6 Q3 老師可以再講解一下嗎？為什么選B，Bob老師說的打開下行，消除下行沒聽太懂，還有25 delta的25指的是exercise price還是什么？ 謝謝
百題case#3 Q1，這個題目是如何判定是cash的？這一類題目有沒有題眼可以判定cash 或者 equity？謝謝
Tryon is long several equity positions based on event-driven ideas that, over the next few quarters, are expected to have double-digit returns. He is concerned, however, that the equity market may decline as a result of lower corporate earnings. He believes investors are complacent as reflected in the historically low level of the volatility index (VIX). He wants to establish volatility exposure as a tail hedge for his holdings and notices the VIX futures curve is in contango. Tryon evaluates three potential trades to establish his hedge: Trade 1: Go long back-end month futures contracts on the VIX Index, with a gross notional equal to the portfolio market value. Trade 2: Sell a rolling series of out-of-the-money put options on VIX futures. Trade 3: Go long a variance swap, with vega notional equal to the potential equity portfolio loss. Which trade is Tryon most likely to implement to establish his equity market hedge?
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(chǎn)所對應(yīng)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(guān)注第三種形式
官網(wǎng)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(wǎng)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(yīng)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
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