老師您好！ reading24課后題第11題答案：Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 請問上述公式是否正確？ 教材中不是說：money duration=market value*duration嗎？PVBP本身也是money duration的概念，兩個money duration相除能得到2-year bond 的market value？ 謝謝！
老師您好！ reading24課后題第10題答案中提到“Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature.”，后面又提到short end get steeper，long end get flatter，這兩點和curvature是什么關(guān)系呢？ 洪老師課件中提到“笑臉”是convexity，所以我選了A，但是后面的解釋不理解。謝謝！ A is correct. The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
老師您好！ 還是這個問題，抱歉！ Reading24課后題第11題的這張表中，duration和pvbp的關(guān)系是怎么算出來的呀？ pvbp不是應(yīng)該等于market value*duration/10000嗎？ 表格表頭的PVBP（C$ million）該怎么理解？ 謝謝！
老師您好！ Reading 24課后題第11題的答案顯示 money duration=market value *pvbp： The C$150 million long-term bonds have a money duration of C$150 × 1,960 = C$294,000 (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 這與課本上的定義有出入吧？ Money duration is market value multiplied by modified duration, divided by 100.13 PVBP is market value multiplied by modified duration, divided by 10,000. (Institute 143) 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9題: 請問：答案中If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds.的最后一句“foregone interest income ”怎么理解？stable的yield curve引起的？謝謝啦！ A is correct. Short maturity at- or near-the-money options on long-term bond futures contain a great deal of convexity. Thus, options increase the convexity of the French client’s portfolio. Options are added in anticipation of a significant change in rates. If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds. (Institute 225) 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11題，為什么會想到是個condor？ 再一個，condor必須四個債券的money duration全部相等嗎？兩年期債券只要和5年期的一致就行了吧？ 謝謝！
老師您好！ Reading24 P199頁中的bank’s forecast for a 1% one-year rate one year from now ，在前文中提到了？怎么理解這個1%？ 謝謝！
老師您好！ Reading24 P186頁的劃線結(jié)論是怎么得到的？
如果bond是semi annual, z spread 和 oas 要不要乘以二
老師您好！ 請問Reading24 p171頁表格中的375.3和383兩個數(shù)字是怎么來的？ 謝謝啦！
老師您好！ 請問下文中的rally和assemble兩個單詞該如何理解？ The market has been very volatile lately, and leaving the $60 million in cash has the potential to lead to severe underperformance if the market were to rally next week while the non-Treasury portion of the portfolio was being assembled. (Institute 160-161) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
老師您好！ Reading24的P154頁中間的“Thus，they can be expected to return less than the one-year rate of 1.5%”這句話不理解！ 再一個，能否指出這句話前一句中的The five- and six- year bonds 的 forecast yields分別是多少？我認(rèn)為是3.10%和3.34%，corresponding implied forward yield 應(yīng)該分別是3.07%和3.27%，這是我的理解。因為看一下2年期的2.33%是怎么計算出的就知道我的理解是對的，但是下文中的括號里卻說six-year bond 的51bp(3.46-2.95),這不就矛盾了嗎？我覺得課本應(yīng)該是寫錯了吧？ 希望指正！謝謝老師！
收固-支浮動，為何支浮動部分是2.5%/4*B'+B'？
老師您好！下面這段話怎么理解： If the yield curve steepens through a reduction in short rates, the bulleted portfolio has given up very little in profits given the small magnitude of price changes at the short end of the curve. (Institute 147) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. bullet的這種短期利率下降引起的好處怎么理解？尤其這個“given up”實在理解不了！ 謝謝您！
老師您好！Reading23第64頁，solution中的第四行，折線率為什么用1.0550呢？從六月折到五月只有一個月，為什么用年利率呢？謝謝！
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