金程問(wèn)答
老師，請(qǐng)問(wèn)書(shū)本220頁(yè)第十一題答案In order to take duration- neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. Allocation to 2- year bond = Money duration of long- term bonds/PVBP of 2- year bond. duraion-neuture不是long+long=short+short，Money duration 2year+long-term=Money duratiion 5-year+ 10-year，為什么這里是Money duration 2-year=Money duration long-term？
老師，請(qǐng)問(wèn)書(shū)本219頁(yè)第九題答案 Options are added in anticipation of a significant change in rates是什么意思？為什么會(huì)change？怎么change？ foregone interest income on the liquidated bonds怎么理解？
老師，請(qǐng)問(wèn)書(shū)本219頁(yè)第七題答案A和C也能獲利，為什么bullet是highset?三者如何計(jì)算和判斷？
老師，請(qǐng)問(wèn)書(shū)本298頁(yè)第六題答案Spread sensitivity is the effect on credit spreads of large withdraw-als by investors from credit funds. Spread sensitivity can be measured as the spread widening (in basis points) divided by the percentage outflow from high- yield funds (funds withdrawn divided by assets under management). A decrease in the spread sensitivity to fund outflows would most likely indicate an increase in liquidity.是什么意思？不太理解？
老師 請(qǐng)問(wèn)這道題為什么選2呢 組合2的money duration并沒(méi)有超過(guò)liability的money duration，如果是說(shuō)差不多也可以的話，那什么范圍內(nèi)算是closely match呢
老師，請(qǐng)問(wèn)書(shū)本217頁(yè)第一題答案 Riding the yield curve differs from buy and hold in that the manager is expecting to add to returns by selling the security at a lower yield at the horizon. This strategy may be particularly effective if the portfolio manager targets portions of the yield curve that are relatively steep and where price appreciation resulting from the bond’s migration to maturity can be significant.是什么意思？ hold and buy和riding the curve如何區(qū)分？有沒(méi)有時(shí)間的限定？hold 可以是任何年限，riding也是任何年限嗎？那一年期限的是不是兩個(gè)就沒(méi)有區(qū)別？能否詳細(xì)講解一下兩者的概念和異同點(diǎn)？有些分不清楚？
老師，請(qǐng)問(wèn)書(shū)本300頁(yè)第十五題答案As correlations increase, the values of the mezza-nine tranches usually increase relative to the values of the senior and equity tranches，課件視頻中說(shuō)subordinated ranches比senior好，那是不是mezzanin比subordinated好？
老師，請(qǐng)問(wèn)書(shū)本300頁(yè)第十一題答案 Once the credit universe has been divided into sectors, the investor identifies the bonds with the best relative value within each sector是什么意思？不太理解？
老師，請(qǐng)問(wèn)書(shū)本300頁(yè)第十題答案A benefit of the G- spread is that when the maturity of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average maturity matches the credit security’s maturity.是什么意思？如何reduces the potential for maturity mismatch？不太理解？
老師，請(qǐng)問(wèn)書(shū)本297頁(yè)第二題答案，empirical duration is often estimated by running a regres-sion of its price returns on changes in a benchmark interest rate是什么意思？
老師，請(qǐng)問(wèn)課后題第二十五題，對(duì)于multiple liabilities的immunization條件, PV（A）>=PV（L）這里的assets和liabilities都是指market value？若給出的assets數(shù)值近似，但小于liabilities的，是不是還是屬于不符合免疫條件？那Macaulay duration數(shù)值近似，大于小于都可以？Money duration數(shù)值近似，大小也可以？是不是只有assets 的market value值一定要大于liabilities的？
老師，請(qǐng)問(wèn)課后題第六題不理解？
老師，請(qǐng)問(wèn)課后題第五題，題目要表達(dá)的是什么意思？
B（liability）*Mod(liability)=B(bond)*Mod(bond) B(future)*Mod(future)*N，B（liability）和B(bond)的金額應(yīng)該是不一樣的吧。
risk in ldi，liquidity risk是什么意思呢？沒(méi)看明白。在被動(dòng)的固定收入組合中運(yùn)用主動(dòng)投資？
程寶問(wèn)答
