金程問(wèn)答
24 mock B AM case 5 第3問(wèn)，老師可以解答一下CTD的原理嗎？為什么是乘CF呀？（解析視頻什么時(shí)候出呀？）
24 mock B AM case 5 第3問(wèn)，為什么equity swap還能換negative return of position呢？不是用equity return去換floating rate 嗎？
老師：是否可以說(shuō)成：當(dāng)gamma 最大時(shí)，option is most sensitive to stock price movement?
COLLAR 的CALL 一定要用OTM? 為什麼?
long straddle must use ATM? why? can I use OTM ITM call and put?
24 mockA AM case5 第3、4題。我記得老師上課講collar和risk reverse都是OTM的，為什么這里說(shuō)put是ATM。這種OTM，ATM應(yīng)該怎么判斷呢？
標(biāo)藍(lán)這句話怎么理解呢？就是C選項(xiàng)為什么是對(duì)的，是什么情況
Generally speaking, implied volatility increases for put options at strike prices that are lower than the current stock price, whereas implied volatilities decrease for call options for strike prices that are higher than the current stock price; this is called the volatility skew. However, sometimes implied volatility decreases for put options at strike prices that are lower than the current stock price, whereas implied volatilities increase for call options at strike prices that are higher than the current stock price; this is called the volatility smile.
Why is ST set as 100? For question 6b?
Q5，C選項(xiàng)delta也是=0的吧？C為什么不對(duì)呢？ 視頻講解老師突然得出應(yīng)該用risk reversal策略，沒(méi)懂怎么得出來(lái)的
cross currency basis swap 的例題。就是說(shuō)每期支付MRR本+floating+MRR美；收：MRR本-basis。美國(guó)公司不僅不支付加拿大公司借款時(shí)候的floating部分，還要減去basis。那如果美國(guó)公司在美國(guó)借款的時(shí)候也是有floating部分，那加拿大公司要支付美國(guó)公司付給美國(guó)銀行的的floating嗎？
第一問(wèn)，不能直接將原beta調(diào)成目標(biāo)beta嗎
不理解這題在說(shuō)什么？5m都對(duì)沖掉了，為何期末還要算5.1m的收益率？
想問(wèn)一下什么時(shí)候用variance swap，什么人時(shí)候用VIX future呢？這兩個(gè)derivative有什么區(qū)別（優(yōu)點(diǎn)/缺點(diǎn)）？
為什麼beta target =1? Beta S =0?
程寶問(wèn)答
