第13題，為什么不算yieldcurvestrategy？在固收R13中講到了staticyieldcurve，買長賣短不也算rolldown嗎？
reading18這里第6題，為什么active risk增加不是因?yàn)槠xbenchmark而造成的？ 即使第一筆是兩個(gè)汽車行業(yè)，不管雙方是往哪個(gè)方向偏離benchmark，都會(huì)增加active risk吧？
原版書課后題reading14第25題
這個(gè)題目看不太懂什么意思？以及考點(diǎn)是什么？
fixed income arbitrage 里，carry trade 的spread應(yīng)該越大越好，為什么payoff profile 里，spread應(yīng)該回歸才能賺錢？carry trade和payoff profile是什么關(guān)系？
31 題，neutral benchmark, flat natural neutral position 有沒有什么象征性意義呢
tax-exampt賬戶放進(jìn)去的時(shí)候要交稅，為什么講義106頁說no_taxes_are_assessed_during_the_contribution
請(qǐng)問reading10的課后34題怎么理解？
請(qǐng)問futures price,futures contract prices,futures contract size 三者的區(qū)別
P103 Example8 我不懂“write a payer swaption”“buy a receiver swaption”的意思。比如說buy a payer swaption，是購買一個(gè)權(quán)利，未來可以支付固定、收到浮動(dòng)。那write payer swaption就是賣出支付固定、收到浮動(dòng)的權(quán)利？所以它是支付浮動(dòng)、收取固定？另外還請(qǐng)老師解答一下Q1。為什么選第四個(gè)。
這是原版書中的一段話，對(duì)于通脹在預(yù)期內(nèi)和超出預(yù)期，對(duì)債券產(chǎn)品的影響，但是不是很理解，希望老師解釋下：Because the cash flows are fixed in nominal terms, the effect of inflation is transmitted solely through the discount rates (i.e., the yield curve). Rising (falling) inflation induces capital losses (gains) as the expected inflation component of yields rises (falls). If inflation remains within the expected cyclical range, shorter-term yields rise/fall more than longer yields but have less price impact as a result of shorter duration. If, however, inflation moves out of the expected range, longer-term yields may rise/fall more sharply as investors reassess the likelihood of a change in the long-run average level of inflation. Persistent deflation benefits the highest-quality bonds because it increases the purchasing power of the cash flows, but it is likely to impair the creditworthiness of lower-quality debt. （1）為什么通脹在預(yù)期內(nèi)，收益率曲線更平坦，超出預(yù)期，收益率曲線更陡峭？ （2）通脹在預(yù)期內(nèi)，資本利得的損失會(huì)減少？ （3）通脹如果超出預(yù)期，為什么長期的收益率波動(dòng)更大？ 謝謝老師
請(qǐng)問計(jì)算稅前和稅后rebalance range的公式，到底是稅前的range 大還是稅后的range 大？
In a convertible bond arbitrage strategy, the manager strives to extract “cheap” implied volatility by buying the relatively undervalued convertible bond and taking a short position in the relatively overvalued common stock. 請(qǐng)問為什麼 CB arbitrage strategies 可以strives to extract “cheap” implied volatility ?
這里的120days eurodollar futures 是指120天后以約定利率結(jié)算3個(gè)月嗎？
老師，請(qǐng)問Nonstationarity和Appraisal有些混淆，appraisal是平滑的數(shù)據(jù)，這里的平滑是指什么？是不是和nonstationarity利用高頻數(shù)據(jù)的平滑是一個(gè)概念？能不能詳細(xì)的講解區(qū)分一下？Asynchronous不太理解具體是什么意思和情況？
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金程問答