金程問(wèn)答
百題 衍生品 case9第二問(wèn) ，視頻 老師 講的 deltacall不能 超過(guò) 0.5，什么意思 ？沒(méi)聽(tīng) 懂
R10 Q34 的現(xiàn)金流這里不是很能理解。講解的時(shí)候是說(shuō)因?yàn)樵?個(gè)月前有了買(mǎi)EUR賣(mài)USD的forward，所以到期日再用spot rate買(mǎi)2.5M的USD平倉(cāng)，然后再開(kāi)新倉(cāng)。 但是forward到期交割的現(xiàn)金流不用考慮么？那一個(gè)月前做forward報(bào)的價(jià)格還有什么意義？
精 老師，我對(duì)課后題reading9的第三題有點(diǎn)沒(méi)弄明白，可否幫我解釋一下effectiverate是個(gè)啥？
衍生百題case4第1題，合成的90bps是EUR，而direct下的100bps是USD，2者可以直接加減么？？
請(qǐng)問(wèn)第三問(wèn)中，題目已知美元較盧比升值，為什么是采取shortforwardcontract？
在經(jīng)典題17中涉及到了出口問(wèn)題：在老師的講解中，韓國(guó)出口放緩慢，說(shuō)明外國(guó)人對(duì)韓幣的需求下降，韓幣貶值。但是為什么不能這樣理解：韓國(guó)出口放緩是因?yàn)轫n國(guó)商品太貴，韓幣增值？
請(qǐng)問(wèn)為什么利率swap的久期=收到的利率的久期-支付的利率的久期？一個(gè)receiverswap，之前是支付固定，swap之后變成支付浮動(dòng)，代表著久期變短，那么這個(gè)swap的久期就應(yīng)該為負(fù)？這塊繞了有點(diǎn)搞不懂
請(qǐng)問(wèn)carry trade 和 trade at forward rate bias 是不是本質(zhì)上是在做一樣的事情？ 如果是，為什麼這裡把它視為「two」strategies?
Q4，請(qǐng)問(wèn)B，C選項(xiàng)，為了minimize foreign exchange exposure，分別在兩種貨幣處于什么情況下是better choice？是不是主要和兩個(gè)貨幣的相關(guān)系數(shù)有關(guān)？請(qǐng)老師解答，謝謝
第一題‘Calculate the total return for Strategy 1’為什么答案寫(xiě)這一大堆
第二題： 3.5M AUD, option contract 是10W AUD/USD, 我看題目標(biāo)的是美元，應(yīng)該用3.5M /匯率（1.48），算出美元的本金是多少，然后看需要多少份contract 吧。 題目里面明確寫(xiě)了option premium 是美元價(jià)格。
Basis point 如何計(jì)算？
老師好，是不是可以這么理解：discount時(shí) F＜S，此時(shí)買(mǎi)入F，roll yield=(F-S)/S>0，獲得﹢roll yeild；premium時(shí)F>S，賣(mài)出F，roll yield=(-F-S)/S<0，因此為負(fù)roll yield？在forwad rate bias中，basis currency作為forward的標(biāo)的，所以在discount時(shí)買(mǎi)入 currency，premium時(shí)賣(mài)出。
老師好，這一題看不太懂，求解釋。
Tryon is long several equity positions based on event-driven ideas that, over the next few quarters, are expected to have double-digit returns. He is concerned, however, that the equity market may decline as a result of lower corporate earnings. He believes investors are complacent as reflected in the historically low level of the volatility index (VIX). He wants to establish volatility exposure as a tail hedge for his holdings and notices the VIX futures curve is in contango. Tryon evaluates three potential trades to establish his hedge: Trade 1: Go long back-end month futures contracts on the VIX Index, with a gross notional equal to the portfolio market value. Trade 2: Sell a rolling series of out-of-the-money put options on VIX futures. Trade 3: Go long a variance swap, with vega notional equal to the potential equity portfolio loss. Which trade is Tryon most likely to implement to establish his equity market hedge?
程寶問(wèn)答
