固收官網(wǎng)題 這個題 不懂 另外書上這段話也不懂 Another source of spread risk is the use of interest rate swap overlays. We showed how receive-fixed swaps, purchased receiver swaptions, and swaption collars can reduce the duration gap between pension plan assets and liabilities. In that example, ΔHedge Yields refers to fixed rates on interest rate swaps referencing the three-month MRR. The spread risk is between high-quality corporate bond yields and swap rates. Typically, there is less volatility in the corporate/swap spread than in the corporate/Treasury spread because both the MRR and corporate bond yields contain credit risk vis-à-vis Treasuries. Therefore, one of the usual advantages to hedging corporate bond risk with interest rate swaps is that those derivatives pose less spread risk than Treasury futures contracts. 麻煩解釋一下這里
老師說Z-DM 對于浮動利率債券就像Z-spread對于固定利率債券一樣 但是 我覺得有幾個疑問 Z-spread是一個固定不變的數(shù)但是Z-DM卻是變化的？ 書上說 in an upward sloping yield curve the Z-DM will be below the DM. 這句話怎么理解？書上有這句話但是一直不理解 前面也有很多同學(xué)問這個問題 老師的回答說：如果MRR收益率曲線變陡，則Z-DM是更小的 這句話是為什么 ? 不明白
請問老師Reading13課后題第17題如何理解
為什么這句話是錯誤的？Asset-driven liabilities (ADLs), like LDI, are special cases of ALM. Financing companies accumulate assets as a result of their underlying business. They use ADLs to structure their assets in a way that matches the maturities of the liabilities.
請問課后題解析在哪看
老師，幫忙講解一下這個知識點，謝謝
請問老師，這道題里的Duration Neutral Trade。兩個bond期限都不同，所以通過long/short, duration也不會neutral。我是不是可以理解為，這個Trade是這么操作，long/short同時，用衍生品來把他們的duration調(diào)成Match的？
是不是structural risk只和convexity大小相關(guān)？convexity越大risk越大？
老師，第一個算出來是18.7%呢？還有下面0.91怎么計算出來的
可以麻煩老師講解一下，什么product什么樣的變化看什么duration嗎？如什么時候看effective duration，什么時候看麥考利duration，什么時候看modified duration？麻煩了
這里講cdsbasis只是一個價格衡量，沒有盯市的價值，就是沒有后續(xù)買賣價差的意義嗎？這個cdsbasis是干嘛用的呀？
這里不明白i- spread的解釋，mrr for a new bond from bank是指的swap rate？mrr具體是什么？
麻煩老師解釋一下這三個選項
老師，你好，關(guān)于原版書reading 14的example29的勘誤中，有兩個問題：（1）能否解釋下預(yù)期經(jīng)濟下行為什么是buyCDS (HY),sellCDS(IG)?預(yù)期經(jīng)濟下行，未來HY的yield curve 不是應(yīng)該reverse，短期的收益率高于長期收益率，未來的收益率是下行，那不是應(yīng)該采取sellCDS(HY)的策略才能賺錢；而IG的收益率曲線依舊是steepen,未來收益率上行，那不是應(yīng)該采取buyCDS(IG)策略才能賺錢嗎？（2）如果按照原版書的解釋，是采取buyCDS (HY),sellCDS(IG)的策略，一年后CDX（HY）價格下降，那不是既然是buyCDS(HY)策略，那不應(yīng)該是虧錢嗎，怎么會是勘誤中寫的lose呢？同樣的CDX(IG)同樣也存在這樣的疑問？
17題沒懂 能翻譯一下題目和各個選項嗎 考的什么知識點？什么是forward rate bias？
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