金程問(wèn)答
老師，ETF是隨時(shí)可以交易，有折溢價(jià)。mutual fund是按收盤(pán)價(jià)交易對(duì)吧
老師，cash flow matching里的accounting defeasance到底是什么意思？謝謝
計(jì)算DTS的時(shí)候要考慮符號(hào)嗎？
沖刺筆記（上）134-135頁(yè)這里，在134頁(yè)提到說(shuō)long put/call option是增加convexity的一種方法，但是在135頁(yè)的表格里面，long bond put option又是d
借股中的rebate rate是指什么？支付給誰(shuí)的錢(qián)？
put_option的convexity是正的話(huà)，為什么第一張圖最底下這一條，impact是decrease_convexity呢？
The annualized roll-down return difference is the 2.75% corporate bond realized return less the 1.80% UK gilt realized return, or 0.95%. roll-down return為什么包含counpon rate?The interpolated benchmark involves the use of the most liquid, on-the-run government bonds to derive a hypothetical 10-year UK gilt YTM. Because the UK gilt yield curve is upward sloping in this example, we can conclude that the relative roll-down return using an interpolated benchmark would be lower than the 0.95% difference in Question 1.可以理解，UK gilt yield curve is upward sloping ，所以10-year UK gilt YTM
精 這一題我是從upward來(lái)選A的，有點(diǎn)蒙的成分，麻煩老師幫我分析下，謝謝
positivebutterflyspread和positivebutterfly是兩回事嘛？positivebutterfly是下凹的spread為負(fù)值，，positivebutterflyspread為spread為正值圖形為上凸稱(chēng)作negativebutterfly？？
固收官網(wǎng)Shrewsbury case，這兩個(gè)duration statistics沒(méi)見(jiàn)過(guò)，請(qǐng)老師講解下
Danny Moynahan Case 這最后一題 關(guān)于tax 為什么選B而不是選C?
原版書(shū)R12的EXAMPLE 12 的第二問(wèn)請(qǐng)老師講解下，effective duration of 5.28就算長(zhǎng)期了？FTSE Pfandbrief Index這個(gè)請(qǐng)老師解釋下，我以為這個(gè)是對(duì)應(yīng)long-term的，因?yàn)?is a bond issued by German mortgage banks, collateralized by long-term assets, such as real estate or public sector loans.
第236頁(yè)這道例題感覺(jué)有點(diǎn)小問(wèn)題，在算1%VaR時(shí)未把每月的期望收益作為基數(shù)進(jìn)行相加，難道不應(yīng)該是3%/12-2.33*6.708%來(lái)算出1%VaR嗎
bear flattening 和bull flattening的意思是？
請(qǐng)老師說(shuō)下I spread 和swap spread 的公式？哪個(gè)減哪個(gè)
程寶問(wèn)答
