金程問(wèn)答
麻煩老師講一下這道題，謝謝
Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.老師您好，請(qǐng)問(wèn)為啥active investment有流動(dòng)性風(fēng)險(xiǎn)？這句話怎么理解呢
老師您好，tender offer是啥呀，為啥選A呀
老師，想請(qǐng)教一下，這道題咋算的呀
買入barbell 賣出bullet可以實(shí)現(xiàn)久期不變，是不是可以理解為長(zhǎng)期和短期債券的久期等于中期債券的久期？
這里的n是number of coupon periods per year. 那對(duì)于零息債券，n怎么理解，應(yīng)該取1？
什么時(shí)候應(yīng)該long futures 什么時(shí)候應(yīng)該short
sydney case的第三題 短端長(zhǎng)端都是利率上升 receive fix swap不是賺錢 pay fix不是虧錢嗎
第一題沒(méi)有解析呀？能否解釋一下怎么算出來(lái)的？
第二題是表面如果是一組債券的話，應(yīng)該是money duration一致，只有單個(gè)債券的話才看麥考利久期一樣對(duì)嗎？
想問(wèn)下money duration可以通過(guò)Market value和Cash flow yield推算出來(lái)嗎？應(yīng)該怎么推算，謝謝
老師您好，請(qǐng)問(wèn)買入repurchase payment會(huì)影響duration嗎
第5題，為什么yield 和yield spread change不需要進(jìn)行兩邊的-MD*▲y+0.5*convexity*(▲y)^2？
老師這里講的如何賣出買入一個(gè)barbell和bullet啊，買入賣出一個(gè)portfolio？
為什么信用質(zhì)量差的spread duration和mod duration差別大？
程寶問(wèn)答
