金程問(wèn)答
老師您好！ reading25課后題第12題涉及到的comment1為啥是錯(cuò)的呀？ 謝謝老師！
老師您好！ reading25課后題第三題B錯(cuò)的原因？ 謝謝！
老師您好！ reading25課后題，前一個(gè)20bp變化和后一個(gè)20bp不是保函的關(guān)系？答案顯示價(jià)格變化為什么要分開計(jì)算？不很理解 謝謝！
p26 如果當(dāng)年的cf是negative，需不需要從tia中扣除？
請(qǐng)問(wèn)外匯里 A：B =1:2 就是一個(gè)A貨幣換2個(gè)B貨幣吧。 老師PPT教材好像說(shuō)錯(cuò)了。
老師您好！ reading25 P243頁(yè)例題中計(jì)算出的G-spread 1.68%似乎沒(méi)用？既不用來(lái)說(shuō)明hedge，也不用來(lái)計(jì)算new price？ 謝謝！
老師您好！ reading24課后題最后一道，這個(gè)表該如何理解？能否麻煩講解一下具體數(shù)字的含義？以及如何看出ABC各是什么變動(dòng)？ 謝謝啦！
Solution to 5: Hedging exposure to GBP and EUR results in a six-month gain of 49 bps and 85 bps, respectively, as shown in the beginning of problem 4. The currency exposure should be hedged unless these currencies are expected to appreciate against the USD by more than these amounts over the next six months. (Institute 188) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ reading24 example5中的最后一問(wèn)，英德之間的hedge應(yīng)該怎么理解？謝謝！
By construction, the forward rates are the sequence of future one-period discount rates imbedded in the value of all swap tenors today. At the end of the first period, the current short-term (6-month) rate will drop out of the sequence. If the rest of the series remains the same—which is what it means for the curve to move to the forward rates—then the fixed side of every swap will increase in value by exactly the current short rate. Of course, that is the rate being paid on the floating side of the swaps, so each tenor breaks even. (Institute 140) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ Reading24P140頁(yè)的案例最后一段， 1、這個(gè)break even怎么理解呀？ 2、書中說(shuō)“then the fixed side of every swap will increase in value by exactly the current short rate”，在上文中increase in value不是33bp嗎？難道應(yīng)該是the current short rate—2.03%？實(shí)在不理解！ 謝謝老師的耐心！
Standard arbitrage arguments imply that the futures contract price should equal the cost of buying the bond today and financing it to the futures delivery date less the yield earned before delivery. (Institute 137) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ reading24中關(guān)于carry trade 這段話怎么理解？能否麻煩用算式演示一下？ 感謝！
In the case of the 10-year this would mean paying fixed at 3% timed to match the 3% annual coupon from the bond and receiving a spread to the 6-month floating rate. (Institute 176) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ 請(qǐng)問(wèn)reading24第section 5中的example 4中的這句話，paying fixed at 3%，為什么不是10年期的5.91%？ 我看其他題目中都是以題目中給出的表格中的各期的YTM為互換固定方利率呀 謝謝！
老師您好！ reading24課后題中的第20題，為什么不選portfolio 1 ？ 因?yàn)閟teepen，可以選擇一個(gè)bullet呀？ portfolio 1 的1、3、30年均比current portfolio降低，5、10年的均增加，不是一個(gè)很好的bullet嗎？ 謝謝！
This condor is structured so that it benefits from a decline in curvature, where the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve. (Institute 226) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ reading24課后題第19題中提到的這個(gè)condor，答案中提到的the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve，這個(gè)變化過(guò)程，能否麻煩畫兩張圖給看一下？辛苦啦！非常感謝！
Hirji also proposes the following duration-neutral trades for the French institutional client: Long/short trade on 1-year and 3-year Canadian government bonds Short/long trade on 10-year and long-term Canadian government bonds (Institute 214) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！reading24課后題中這個(gè)condor要求duration-neutral，而不是教材中寫的“money duration neutral”，后面的2s的allocation計(jì)算是依照money duration neutral計(jì)算的，不嚴(yán)謹(jǐn)？
老師您好！ reading24課后題第12題提到loses curvature，我畫了圖應(yīng)該是指圖一、圖二，但是我想問(wèn)的是：圖三、圖四是不是也是一種可能性呢？這樣就增加了curvature呀？ 謝謝老師！ C is correct. Hirji proposes an extreme bullet portfolio focusing on the middle of the yield curve. If the forecast is correct and the yield curve loses curvature, the rates at either end of the curve will rise or the intermediate yields will drop. As a result, bonds at the ends of the yield curve will lose value or the intermediate bonds will increase in value. In either case, the bullet portfolio will outperform relative to a more diverse maturity index portfolio like the benchmark. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
程寶問(wèn)答
