第1問，考試中沒提付息頻率，都是默認(rèn)半年付息嗎？
有點(diǎn)混淆，immunization應(yīng)對(duì)structure risk要減小convexity，這里說convexity好越大越好，怎么理解？
D問，forward和call option的payoff，乘的risk factor是什么？
請(qǐng)教一下，negative butterfly是有positive butterfly spread是嗎？ 而positive butterfly 是有negative butterfly spread是嗎？ butterfly spread公式如圖二，能夠理解，但是根據(jù)圖1這么定義正負(fù)butterfly的話，是不是有個(gè)矛盾？
對(duì)于swaption collar,進(jìn)入receiver swaption會(huì)使得利率下跌時(shí)收到更高的固定利率，但是同理short payer swaption不會(huì)也會(huì)在利率下跌時(shí)付出更高的固定利率么
老師，您好，DTS適合low rated bond不適合high yield bond嗎？以下是題目B和C是啥意思呀，謝謝啦Q. Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?A.High-yield credit spread curves change shape more over the cycle than investment-grade ones do and usually invert during the peak phase.B.Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.C.High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.
interest rate volatility & default correlations
cashflow yield 怎么理解
可以講一下這道題嗎老師
第二問五因子分解的第一部分coupon的計(jì)算，為啥是6.2，表里本金不是99嗎？那coupon不是應(yīng)該用99*6.2%嗎？
老師，dts可以加權(quán)，為何oas不可以呢？
這道題的A和B分別錯(cuò)哪了？
久期中性策略，都是做空短期，做多長(zhǎng)期嗎？
這兩個(gè)公式有什么區(qū)別
第五題答案到底是什么，解析和答案怎么對(duì)不上
程寶問答
金程問答