金程問(wèn)答
Tracking error有三分之二的說(shuō)法嗎？怎么沒有印象？第二題老師有講過(guò)pvd可以降低tracking error嗎？
這道題看不懂呢
spread risk不懂。 為什么在用Derivative overlay時(shí)Spread risk是一個(gè)concern? Movements in the corporate–Treasury yield spread introduce risk to the hedging strategy.Usually, yields on high-quality corporate bonds are less volatile than on more-liquid Treasuries. Government bonds are used in a wide variety of hedging as well as speculative trading strategies by institutional investors. Also, inflows of international funds typically are placed in government bonds, at least until they are allocated to other asset classes. Those factors lead to greater volatility in Treasury yields than comparable-maturity corporate bonds. ” Excerpt From 2022 CFA Program Level III Volume 2 Derivatives, Currency Management, and Fixed Income CFA Institute This material may be protected by copyright.
第二道題什么意思呢？怎么感覺沒學(xué)過(guò)swaption collar
照片中這句話為什么是對(duì)的？
為什么做空就是用futures ，做多就是用swap？
21題沒懂duration neutral是什么意思 他short短期long長(zhǎng)期債券 duration應(yīng)該增加吧？考的什么意思？
第13題 他只說(shuō)了steepen 有三種情況吧?這題問(wèn)的哪一種? 還有買put option和買call option分別都是增加久期嗎？sell receiver swaption是降低久期嗎？
為什么不是bull flatten，Lt 和st的r都下降，price都上升啊
老師，畫圈這道題為什么選b啊？
212頁(yè)這個(gè)公式有點(diǎn)疑惑，EFFSpreadDur*delta spread得出的不應(yīng)該是價(jià)格的變化嗎，公式里為何直接用來(lái)跟0時(shí)刻的spread進(jìn)行軋差計(jì)算超額收益了，兩個(gè)東西不是一回事吧？
老師好 百題case 2 Kingsbridge 第二題 什么時(shí)候CTD price需要除以100再乘以contract size呀？這題就直接用的CTD price 有點(diǎn)暈 謝謝
老師，你好，關(guān)于原版書reading 14的example29的勘誤中，有兩個(gè)問(wèn)題：（1）能否解釋下預(yù)期經(jīng)濟(jì)下行為什么是buyCDS (HY),sellCDS(IG)?預(yù)期經(jīng)濟(jì)下行，未來(lái)HY的yield curve 不是應(yīng)該reverse，短期的收益率高于長(zhǎng)期收益率，未來(lái)的收益率是下行，那不是應(yīng)該采取sellCDS(HY)的策略才能賺錢；而IG的收益率曲線依舊是steepen,未來(lái)收益率上行，那不是應(yīng)該采取buyCDS(IG)策略才能賺錢嗎？（2）如果按照原版書的解釋，是采取buyCDS (HY),sellCDS(IG)的策略，一年后CDX（HY）價(jià)格下降，那不是既然是buyCDS(HY)策略，那不應(yīng)該是虧錢嗎，怎么會(huì)是勘誤中寫的lose呢？同樣的CDX(IG)同樣也存在這樣的疑問(wèn)？
老師，根據(jù)沖刺筆記上冊(cè)126頁(yè)這個(gè)補(bǔ)充例題，您幫忙看看我手寫的這幾個(gè)公式對(duì)不對(duì)？概念太多，我怕搞混淆了
老師，你好，關(guān)于CDS這個(gè)知識(shí)點(diǎn)，對(duì)于buy和sell CDS，如何判斷是overweight還是underweight credit exposure?
程寶問(wèn)答
