請問這道題意思是說借券出去的人還是會得到股息補償?shù)膯?
請問為什么這種情況下夾層的價值會增加
請問這句話不是正確的嗎？
計算價格變化的公式里第一部分是負(fù)的久期乘以deltaY,請問這里的久期應(yīng)該是modified久期還是effective 久期，為什么呢？
MBS的凸性為什么是負(fù)的呢？case book第117頁17題的解答看不懂啊
case book 106頁12題怎么做?。縔TM和cash flow yield有什么區(qū)別呢
老師 能否解釋一下為什么這道題中2年期債券的投入金額是用2年和長期債的money duration相等來計算的？如果要duration neutral 應(yīng)該是barbell和bullet的DD相等，或者是short-end和Long-end的兩筆反向交易都DD相等，這里等于是沒有考慮bullet的兩筆啊
老師，請問書本226頁第三十一題答案Scenario C: –0.02?+ (–0.053) + (–0.794) = –0.867為什么不可以是Scenario C: 0.02?+ (–0.053) -(–0.794) ？是不是絕對數(shù)值越大，sensitity越大？
老師，請問書本225頁第二十四題答案 Due to covered interest arbi-trage, 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.是什么意思？ . 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不太理解？ Over horizons most relevant for active bond management, the capital gains/losses arissing from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve怎么理解？
老師請問書本225頁第二十三題答案. Intra- market carry trades typically do involve different maturities, but inter- market carry trades frequently do not, especially if the currency is not hedged.這里not hedged怎么理解？ if two curves are involved they need not have different slopes provided there is a difference in the level of yields between markets.是什么意思？ 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 cur-rency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate.這段不太明白是什么意思？
老師，請問能否詳細(xì)講解一下書本223頁第二十題，不太理解是什么意思？
老師，請問書本222頁第十九題，cordor structure中，long和short的所有節(jié)點money duration都相同的嗎？那butterfly和曲線直線的呢？這道題和第十一題是不是一樣？能否詳細(xì)講解一下這兩道題是什么意思？有些不太清楚？
老師，請問書本222頁第十八題答案Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30- year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. 30-year bond的duration和convexity的數(shù)據(jù)在哪里？怎么得出larger price gain的結(jié)論的？ If the yield curve flattens through rising short- term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.是什么意思？解釋有些看不懂？
老師，請問書本222頁第十七題答案A為什么不可以？In a stable yield curve environment，Sell the 3- year bonds, and use the proceeds to buy 10- year bonds.不是也可以嗎？這種情況是carry trade還是ride the yield curve？有些分不清楚？能否詳細(xì)解釋一下它們的概念和異同點？
老師，請問書本222頁第十六題答案 shortening the Fund’s duration from a neutral position to one that is shorter than the benchmark will improve the portfolio’s return relative to the benchmark. 利率上升不是價格下降，shorten duration 不是為了避免損失更多？為什么會impove return？怎么impove的？curve steepen和shorten duration 有什么關(guān)系？能否詳細(xì)解釋一下這之間的關(guān)系？
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