原版書第178 ，我一直想不明白，例題Hedge2， 為平倉即期頭寸用bid, The spot leg of the swap—buying back EUR8,000,000 to settle the outstanding forward transaction—is also based on the bid rate of 10.0200. This is because Yang is selling an amount larger than EUR8,000,000 forward, and the all-in forward rate of the swap is already using the bid side of the market (as it would for a matched swap). Hence, to pick up the net increase in forward EUR sales, the dealer Yang is transacting with would price the swap so that Yang also has to use bid side of the spot quote for the spot transaction used to settle the maturing forward contract
老師您好，我想問一下這個seagull跟課上講的seagull不太一樣誒。能解釋一下嗎？會有bear seagull嗎怎么構(gòu)建呢？謝謝
老師，這是老師上課講的如下幾個公式 Synthetic long/short forward: 1) Long call + Short put = Long forward (long forward其實相當(dāng)于long了一個asset) 2) Long put + Short call = Short forward (short forward其實相當(dāng)于short了一個asset) 把上面的兩個等式左右兩邊挪一挪，得到以下兩個公式 Synthetic call/put 3) Long call = long asset + long put 4) Long put = short asset + long call 我的問題是，如果把1）左邊的short put 移到等式右邊，我們其實有兩種公式： 3) Long call = long asset + long put （short put 從左邊移到右邊，變成了long put) 這個公式老師講到了。 那同樣道理，我如果把short put 從左邊移到右邊，可不可以變成了short call 呢？ 也就是說，我們會得到這樣的等式：Long call = long asset + short call 請問這樣的等式成立嗎？
老師，active currency management和currency overlay哪個是獲得currency alpha?另外，哪種方法是獲得currency beta
老師請教一下 corss currency basis swap 和synthetic borroweing的目的主要有什麼不同呢?
題目中3個月的利率2%，并沒有說是annnualized，為什么不能直接用呢？
對于swap：股利、投票權(quán)都還在股票原持有人
第2題，捋一下啊，就是如果A進(jìn)入利率互換，只是和dealer做的一個交易，該給銀行的依然要一分不差的給銀行，所以 MRR+2.25%必須要付，和dealer再看支出固定4.6%收到MRR浮動，最后實際利率就是4.6%+2.25%=6.85%； 1）以上正確？2）這樣不是很傻嗎，最后付了6.85%，本來只用付2.75%+2.25%=5%就可以了，只有當(dāng)A認(rèn)為MRR會上漲到超過4.6%以上他才有可能進(jìn)行互換吧？3）我記得有道原版書課后題，是按照另一個思路做的， 套用在這題上的話大概如下： 老師說固定和浮動端MRR互換，但是無論怎么換+2.25%這個必須要付，所以是換為支出4.6%+2.25%，收入則是MRR，也就是2.75%， 因此實際利率是4.6%+2.25%-2.75%=4.1%； 那道課后題就是這個思路做的，我不知道為什么和這題思路不一樣。。。
第四題為啥它pay的interst rate不是12.2%呢，這個不是看它5 year swap嗎？
risk reversal
為什么用0.67-0.28，沒懂，謝謝
第4題，為什么不考慮futures需要margin
第九題如果反過來預(yù)期未來0~t1時間價格不變，t1~t2時間段價格下跌，是不是也可以用同樣的put策略。。。short短期put，long長期put賺差價
老師您好，請問credit rating migration can cause spread risk to become realized.這句話啥意思。With respect to risk considerations for investment-grade bonds, Larent is most likely correct with respect to spread risk. Spread risk is a function of credit migration. For investment-grade bonds, the risk of credit rating migration (credit deterioration) is greater than the risk of actual credit loss. Accordingly, credit spread volatility, as opposed to outright credit default loss, is a more relevant consideration as it relates to investment-grade bonds. Spread duration measures the credit spread volatility risk in a portfolio of investment-grade bonds.
這里題目里是EUR/USD, 要怎么知道USD/EUR是正常的報價形式？ 直接寫short USD, long EUR futures ok嗎？
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