Q25，這里的不同國家的asset return是Rdc還是Rfc？賬戶總共有7%的return，7=5.5+1.5，這里也是可以按Rdc=（1+Rfc）（1+Rfx）-1 來理解么？
CFA網(wǎng)站上的題目：The fund owns 10,000 shares of Inwood Industries, Inc., which is currently trading at US$100.00. Bennett believes that Inwood’s next five quarterly earnings reports will miss consensus estimates but, longer term, there is value in the equity given the company’s strong backlog of new products. The shares are very illiquid to trade, so Tryon wants to hedge the position over this time frame without selling the shares. Park suggests three total return equity swaps for Tryon to consider. Question Which type of total return swap is Tryon most likely to use given his view on Inwood stock equity? Buy a one-year: cash-settled total return payer swap. cash-settled total return receiver swap. physically settled total return payer swap. 為什么選cash-settled total return payer？payer是指付固定，收浮動；我預(yù)計到浮動的收入會降低，應(yīng)該想要收固定，付浮動去對沖。我認(rèn)為應(yīng)該選receiver swap。
這是CFA網(wǎng)站上的題。是不是這個題出錯了？ 給出的Spot rate 是EUR/USD？
假如直接法表示外匯：X/Y（X是本幣，Y是外幣），如果forward bias是premium，那就是代表溢價，應(yīng)該賣掉外匯Y，買入本幣X？
CFA 網(wǎng)站上有道題目，我不是很理解選項(xiàng)B,C錯在哪里。Calzada asks for recommendations on option strategies to implement if the market is expected to trade in a narrow range in the near term. Dufu responds, “The appropriate strategy in this scenario depends on your expectations for changes in implied volatility. If you expect a decrease in implied volatility, then you should write a straddle on the stock index. If your expectation is for implied volatility to increase, then you should enter a short risk reversal trade on the stock index. If your view is that implied volatility will remain unchanged, then you should buy call options and write put options on the stock index.” Question In her response to Calzada, Dufu is most likely correct about: a writing a straddle. b short risk reversal trade. c buying calls and writing puts.
Q20，為什么equity的βt是0？bond的BPVp是0？
Currency reading 10， 課后題第25題，cross-product is equal to -0.005% 這個是什么意思？
Q21，1）為什么put option是OTM，ITM或者ATM行不行？2）C是collar么？3）為什么call option也是OTM？
Q20，這種未到期的rebalance，都是要調(diào)到期初的contract狀態(tài)么？這里跌了7milGBP，再買7milGBP，是相當(dāng)于回歸了期初的100mil么？
為什么2.6*100
老師，這道第一題我算出來是416.499，bob老師上課的時候不是說0.499應(yīng)該約成0而不是1嗎？
老師，這里第四題他說的是payfixed部分duration是2.4，那還有收浮動的部分啊？我覺得是不是沒說清楚這里
錯題 mock這個題 能否詳解 他現(xiàn)在資產(chǎn)負(fù)債表上asset 有印度資產(chǎn) 他怕印度資產(chǎn)下跌所以short 印度盧比 做currency swap 那這個swap應(yīng)該是買盧比賣澳元嘛 這個理解對嗎？多謝
老師，請問equtiy swap與total return swap有什么區(qū)別？二者讓我混淆
請問老師能不能幫忙看一下我的計算過程哪里有問題嗎？我的理解是起初的6 month forward contract在到期時需要按照EUR18m*1.3916=USD25,048,800。而為了roll over還需要把這筆美金先按照6 month spot rate換成歐元，即USD25,048,800/1.4289=EUR17,530,128。等到第二個forward到期時，再以歐元換成美金，即EUR17,530,128*1.4162=USD24,826,167. 而USD24,826,167小于期初的spot rate對應(yīng)的美金價值USD25,083,000(=EUR18,000,000*1.3935)，所以整體roll yield return是負(fù)的。請問這個思路正確嗎？如果題目中讓計算impact of currency change應(yīng)該怎么計算呢？
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