請問這句話怎么理解？The roll down return is equal to the bond’s percentage price change assuming an unchanged yield curve over the strategy horizon. The roll down return results from the bond “rolling down” the yield curve as the time to maturity decreases. As time passes, a bond’s price typically moves closer to par.
請問老師Reading13課后題第17題如何理解
為什么說Value weighted的index更容易遇到credit quality deterioration的問題？
Liability-based mandates是指cashflow matching嗎？
為什么這句話是錯誤的？Asset-driven liabilities (ADLs), like LDI, are special cases of ALM. Financing companies accumulate assets as a result of their underlying business. They use ADLs to structure their assets in a way that matches the maturities of the liabilities.
R14 section 6- "6.1 static credit spread curve strategies"中，有一句話，“a manager could position a portfolio to generate excess return in this scenario by either lowering the portfolio's average credit rating or ....”中，"generate excess return“ 根據(jù)E[excess spread]的公式的話，應(yīng)該是減少spread才會增加excess return吧？，原版書中的這句話，降低credit rating，那不是提高了spread么，再套用公式的話，那么change in spread是正的，相對原有Spread，是減少了excess return吧
老師，密卷題上午題Q6最后一問，這里的5年和10年的收益正負(fù)數(shù)要怎么判斷出5年的是負(fù)數(shù)，10年是正收益呢？
請問課后題解析在哪看
基礎(chǔ)班八月講義，P197-262例題解釋，為什么在計(jì)算債券價格時候，可以用effective duration替代modified duration求解？
基礎(chǔ)班八月講義，P195-262例題。在用7年和10年美國國債組成一個和Citigroup債券一樣的組合債券時，為什么match duration而不是match effective duration ?
什么時候用Bullet、barbell投資減少利率影響，有規(guī)律嗎？
R12原版書例題9我還是對題目有點(diǎn)困惑，我是這樣理解的，麻煩老師看一下對不對： 目前S公司的負(fù)債是callable debt liability ，第一問是問用什么樣的swaption 將callable debt liability 轉(zhuǎn)化成non callable debt liability ，第一問這樣理解對嗎
原版書L3V3 PP68 example 3. 問（1）Which is analytical duration, modified duration or Macaulay duration or effective duration? （2）I used excel to calculate the Macaulay duration and modified duration from the definition formula. But I got 4.392 for MacD and 4.276 for ModD, neither of which matches the 4.234. Where did I get it wrong?
還有這個題目，謝謝老師
老師，這個地方是不是降低了三分之一，剩下就是三分之二，excesspread是怎么計(jì)算出來的
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