固定收益 case book中冊(cè) 2016年的題目 外國債券的duration折合成本國的duration=d*beta 這個(gè)是什么意思？在哪里介紹過這個(gè)知識(shí)點(diǎn)嗎
你好，請(qǐng)問這個(gè)題為什么我們不能用已知的duration/10000來解? Dl=7.23/10000，Da=7.42/10000，然后再除以future的BPV?
你好，請(qǐng)問為什么只鎖定rA, 我們讓IH= MAC D只是offset rA，那么rL怎么鎖定還是說rL是已知？
原版書課后題reading21 第2題的三個(gè)point怎么理解？
R20課后題第9題，為什么說Short maturity at- or near- the- money options on long- term bond futures的convexity較大。
老師，increase in ....butterfly spread 是什么意思？butterfly不是兩邊高中間低么？但是看答案是兩邊低中間高？
請(qǐng)問合理避稅，放TDA里和Tax defferral有啥區(qū)別？第17頁
老師，這里為什么能直接用0時(shí)間點(diǎn)的1年期YTM來代替1時(shí)間點(diǎn)的1年期YTM也就是1,5%？ 現(xiàn)實(shí)中過了一年以后1年期的YTM肯定有變化吧？？
請(qǐng)問，此處視頻里講到，收益率不改變情況下，任何時(shí)間賣掉債券，收益率都是YTM，與以前老師講的riding yield curve可以獲得更高收益不是矛盾嗎？
老師請(qǐng)問書本225頁第二十三題答案. Intra- market carry trades typically do involve different maturities, but inter- market carry trades frequently do not, especially if the currency is not hedged.這里not hedged怎么理解？ if two curves are involved they need not have different slopes provided there is a difference in the level of yields between markets.是什么意思？ Inter- market carry trades do not, in general, break even if each yield curve goes to its forward rates. Intra-market trades will break even if the curve goes to the forward rates because, by construction of the forward rates, all points on the curve will earn the “first- period” rate (that is, the rate for the holding period being considered). Inter-market trades need not break even unless the “first- period” rate is the same in the two markets. If the cur-rency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate.這段不太明白是什么意思？
老師，請(qǐng)問書本222頁第十八題答案Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30- year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. 30-year bond的duration和convexity的數(shù)據(jù)在哪里？怎么得出larger price gain的結(jié)論的？ If the yield curve flattens through rising short- term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.是什么意思？解釋有些看不懂？
老師，請(qǐng)問書本300頁第十一題答案 Once the credit universe has been divided into sectors, the investor identifies the bonds with the best relative value within each sector是什么意思？不太理解？
B（liability）*Mod(liability)=B(bond)*Mod(bond) B(future)*Mod(future)*N，B（liability）和B(bond)的金額應(yīng)該是不一樣的吧。
2009question1 indexed for inflation 就是說我們不需要再通脹調(diào)整了吧？ 這個(gè)pension 直接就是nominal的金額了？謝謝
2010年真題question3.B，請(qǐng)問A公司為什么要保留real rate bond?tl題目中說了，它的benefits not inflation indexed，不意味著不需要real.rate bond嗎
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