金程問(wèn)答
辛苦老師
老師請(qǐng)問(wèn)為什么cashflowrisk是針對(duì)浮動(dòng)利率的產(chǎn)品呢？很不理解。marketvaluerisk和cashflowrisk覺(jué)得沒(méi)有社么區(qū)別，本質(zhì)上都是價(jià)格或者錢的變化。不知道這里區(qū)分這個(gè)的目的是什么。
請(qǐng)問(wèn)第三問(wèn)中，題目已知美元較盧比升值，為什么是采取shortforwardcontract？
衍生reading10 currency management 課后第18題如何理解
第一問(wèn)中USD的return是19.5%， GBP的return是15%，如何判斷出GBP較USD升值？
衍生品種 Collar 是手持標(biāo)的資產(chǎn)S+P-C；Put spread 也是手持標(biāo)的資產(chǎn) S+P-P more OTM；long risk reversal 是C-P；short risk reversal P-C 沒(méi)有標(biāo)的資產(chǎn)，我這么理解對(duì)嗎？
精 衍生品 原版書201頁(yè)，第1題，為什么不能 reduce hedge ratio？需要立刻取出一大筆錢，那么hedge的量要減少。
衍生品，沖刺筆記 100頁(yè)，put spread 需要持有underlying asset么？這個(gè)圖應(yīng)該是指S+P-P （more OTM）吧？
衍生品 沖刺筆記種 100頁(yè)，collar 和 risk reversal的區(qū)別除了頭寸相反，collar 是持有underlying asset，但是risk reversal 沒(méi)有underlying asset，是這樣么？
請(qǐng)問(wèn)為什么Rusd19.5>Rgbp15%,就能說(shuō)明GBP較USD是升值的？
老師，請(qǐng)問(wèn)currency overlay為什么是the currency exposure is fully hedged？另外，為什么Regarding the currency overlay program, it will add value to the portfolio only if the currency alpha has a low correlation with other asset classes in the portfolio.
請(qǐng)問(wèn)表2如何看，我不知道put：80%和call：120%分別是什么意思？
老師好，請(qǐng)問(wèn)如何判定DC/FC應(yīng)該short forward？同理FC/DC應(yīng)該long forward？謝謝
衍生課后第9題the market reference rate is assumed to be flat for all swaps這句話起什么作用
精 衍生品 原版書 122頁(yè)：下面這段話 怎么理解？ Importantly, typical end-of-month (EOM) activity by large financial and banking institutions often induces “dips” in the FFE rate that create bias issues when using the rate as the basis for probability calculations of potential FOMC rate moves. For example, if such activity increased the price for the relevant fed funds futures contract to 98.05, then the FFE rate would decline to 1.95% (= 100 ? 98.05). In this case, using the same equation as before, the probability of an FOMC rate hike decreases from 90% to just 30%:
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