老師你好，為什么在用免疫策略構建asset portfolio的時候，單老師說要選convexity小的，但是在講yield curve strategy的時候，又要選convexity大的？
R19第4題 為什么含權債券要用Effective Duration 這個知識點有點忘記了，請老師幫忙解答一下。 第5題 講義和原版書上都說 duration match的Cash flow comes from coupons and principal 為什么答案里說是liquidating bond portfolio？ 為什么cash flow match 不能算liquidating bond portfolio啊它也是到期就清倉了啊。 謝謝老師！
麻煩請老師詳細解釋這段話，具體是怎么投資的，謝謝
老師，考慮TR的時候為什么利率改變，duration也改變
老師，一直沒想明白個問題，為何除key rate duration，其余久期均有假設條件：利率曲線平行移動？同時，利率曲線為何一定要移動呢，不移動可以嗎？謝謝。
課后題目中的reading20 yield curve strategies 中的題目11題，為什么是要2年的money久期要等于long-term的money 久期，而不是short的頭寸和long的頭寸的久期一致？
請問可以解釋一下 Z-spread 跟 OAS 之間的關係嗎?
老師，increase in ....butterfly spread 是什么意思？butterfly不是兩邊高中間低么？但是看答案是兩邊低中間高？
請問為什么short sale defer capital gain tax?麻煩老師詳細說明一下，謝謝
老師好，對比這兩種portfolio,barbell的短期雖然duration小，但利率變動相較于中期要大呀，為什么一定價格下降變動程度是小的呢？
請問可以解釋原版書 Reading 20 課後題 Q23. C 選項這段話嗎? "Inter-market carry trades do not, in general, break even if each yield curve goes to its forward rates. Intra-market trades will break even if the curve goes to the forward rates because, by construction of the forward rates, all points on the curve will earn the “first-period” rate (that is, the rate for the holding period being considered). Inter-market trades need not break even unless the “first-period” rate is the same in the two markets. If the currency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate."
請問原版書 Reading 20 中課後 Q20: Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations? A steepening yield curve 不是應該選bullet? 根據(jù)Exhibit 2.?Selected Partial Durations 的表中可以知道 current portfolio and pro forma portfolio 2 是 barbell portfolio. 所以答案為什麼不是選 B 選項?
請問原版書中課後題 Q25: Determine the most appropriate immunization portfolio in Exhibit 2. Justify your decision. 答案是 Portfolio 2 1. Money Duration: Money durations of all three possible immunizing portfolios match or closely match the money duration of the outflow portfolio. 2. Convexity: Given that the money duration requirement is met by all three possible immunizing portfolios, the portfolio with the lowest convexity that is above the outflow portfolio’s convexity of 135.142 should be selected. 但是書上說 The conditions to immunize multiple liabilities are that (1) the market value of assets is greater than or equal to the market value of the liabilities, (2) the asset basis point value (BPV) equals the liability BPV, and (3) the dispersion of cash flows and the convexity of assets are greater than those of the liabilities. Portfolio 2 的 BPV是小於 Liability的。另外，上課的時候有說要選convexity大的。滿足這兩項的應該是Portfolio 1. 請問為什麼答案是Portfolio2?
請問老師選擇convexity小的可以降低structure risk，那么什么時候要選擇convexity大的那個portfolio呢？
請問原版書 Reading 20 課後題 Q24. 中解答 C is correct. Winslow’s Statement VI is incorrect. Due to covered interest arbitrage, the relative attractiveness of bonds does not depend on the currency into which they are hedged for comparison. Hence, the ranking of bonds does not depend on the base currency of the portfolio. A is incorrect because Winslow’s Statement IV is correct. Inter-market trades should be assessed on the basis of returns hedged into a common currency. Doing so ensures that they are comparable. Neither local currency returns nor unhedged returns are comparable across markets because they involve different currency exposures/risks. 當投資外國債券的時候，currency return 應該也要考慮進去吧? 請問為什麼statement VI 是錯的但是 statement IV 是對的?
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