金程問(wèn)答
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
算了下RDC,跟題目不一致呢？
($60 – $47.50) – $2.27 = $12.50 – $2.27 = $10.23, 這里怎么是60減的是到期價(jià)格啊，不管是maximum profit或者maximun loss都是X-S0（60多）呀，到期價(jià)格那么低，collar的收益不應(yīng)該是個(gè)負(fù)數(shù)嘛，從圖像上來(lái)看的話，第二個(gè)strategy也同理是負(fù)數(shù)噠。
老師，最后一道例題，提到有效性的判斷，最后求出組合的beta=0.8，這個(gè)是對(duì)沖后的組合真實(shí)的beta，和他的目標(biāo)beta（題目已知）相等，所以可以認(rèn)為有效性好（對(duì)沖有效）嗎？
如果是long put & short call的risk reversal策略，和collar 的區(qū)別就在于一個(gè)持有stock一個(gè)沒(méi)持有stock么？
第一題‘Calculate the total return for Strategy 1’為什么答案寫這一大堆
老師，在有forward premium是，roll yield是negative， 因?yàn)?F>S是么？反之forward discount時(shí)，意味著 F
這種不用算一半？交叉項(xiàng)都算給外匯了？類似的業(yè)績(jī)歸因里面的交叉項(xiàng)也可以都算給aa或者security selection？他會(huì)怎么問(wèn)？怎么理解他問(wèn)的是加還是不加intersection的部分？
第三題，我計(jì)算過(guò)程精確到了小數(shù)點(diǎn)后兩位，最后的結(jié)果是54219999，和答案54219565有一定偏差，這個(gè)在考試中能得分嗎
第3題，每股一定對(duì)應(yīng)一份期權(quán)嗎？這個(gè)premium 可以直接從每股收益中減去?
精 原版書R8 11.5 calendar spread 這個(gè)case的solution 2的四種情形可以詳細(xì)講解下嗎？看不是很懂
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?
active management是偏向hedge還是不hedge
老師好這個(gè)USD/BRL spot rate of 4.20. 是不是反了， USD/BRL 的意思是 1個(gè)BRL=4.2個(gè)USD 把
程寶問(wèn)答
