金程問(wèn)答
floatingbond的duration問(wèn)題，根據(jù)課件中老師是說(shuō)floatingbond的duration應(yīng)該是等于支付利率reset的時(shí)間。這里為什么又說(shuō)是支付間隔時(shí)間的一半了呢？
第四題這個(gè)她只是說(shuō)了volatility的變化，并不是特指標(biāo)準(zhǔn)差，得出來(lái)的就是方差直接相減得4.2%為什么不對(duì)呢？
請(qǐng)問(wèn)mode是begin還是end在計(jì)算器里怎么調(diào)出來(lái)呢
Reading14,Question17.解題公式中為什么initial spread 不需要乘以0？題目中說(shuō)是instantaneously rise 10%
固收2 第18頁(yè) 例題中 swap MTM gain 這個(gè)怎么理解？后面的計(jì)算公式不是很理解。
第3小題選項(xiàng)A a stated maximum level of volatility 為何選這個(gè) 不理解
在講question10的時(shí)候老師有反復(fù)提到TWAP適用于small order的reference price，因?yàn)闆](méi)有在講義里看到，想問(wèn)下是教材中有提到嗎？具體是在哪里？
關(guān)于positive和nagative butterfly老師在137頁(yè)和158頁(yè)講的是相反的，到底應(yīng)該哪個(gè)正確？ 比如positive butterfly 是concave，那butterfly spread 就應(yīng)該是上升
老師，我是排除法選的B，但還是不很明白，在做carry trade時(shí)，如何從forword的升水、貼水的角度理解。
老師，第7題，能解釋一下“more progressive tax regime”嗎？progressive英文釋義為累進(jìn)的。這種稅收政策下，是增加稅收嗎？ 另外，增加稅收屬于緊縮的財(cái)政政策、還是積極的財(cái)政政策？（增稅-->增加政府支出，刺激經(jīng)濟(jì)；但是增稅-->市場(chǎng)活動(dòng)減少，抑制經(jīng)濟(jì)。兩種影響方向相反，不知道我的理解對(duì)嗎？） 謝謝！
在reading 25中 480頁(yè)對(duì)于active risk的原版書(shū)有四句話，請(qǐng)老師詳細(xì)解釋下： ■ high net exposure to a risk factor will lead to a high level of active risk, irrespec- tive of the level of idiosyncratic risk; ■ if the factor exposure is fully neutralized, the active risk will be entirely attributed to Active Share; ■ the active risk attributed to Active Share will be smaller if the number of securi- ties is large and/or average idiosyncratic risk is small; and ■ the level of active risk will rise with an increase in factor and idiosyncratic vola- tility
為什么說(shuō)closed-end基金流程性最好？ETF是屬于closed-end還是open-end？
老師，2024mock的B卷有一道業(yè)績(jī)題，案例六，原文：The decision to reallocate assets to fixed income is based on an analysis of the asset class. The firm uses a top-down approach to first determine allocations to different economic sectors and then decides on security selection within those sectors. Based on economic projections, the firm then chooses the fixed income portfolio weights relative to the benchmark.問(wèn)：Which risk attribution analysis is most appropriate for the firm’s reallocation of assets to fixed income?答案選C A. Marginal contribution to total risk B. Marginal contribution to tracking risk C. Factors’ marginal contributions to total risk and specific risk 老師，按照原文，出現(xiàn)top-down，以及relative to benchmark，那么他的風(fēng)險(xiǎn)歸因應(yīng)該是：attribute tracking risk to relative allocation and selection decisions. 而選項(xiàng)中沒(méi)有這個(gè)。為什么選C？按照對(duì)課上表的講解，出現(xiàn)了relative就肯定不能是絕對(duì)了。而C是top-down+絕對(duì)。
老師，第一問(wèn)，選A不選B是否因?yàn)椋l(shuí)來(lái)執(zhí)行投資計(jì)劃必須要經(jīng)過(guò)投資委員會(huì)委托，A體現(xiàn)了委派這個(gè)過(guò)程，而B(niǎo)是直接過(guò)度給其余的內(nèi)部員工，就沒(méi)有體現(xiàn)IC委派過(guò)程，這樣理解對(duì)嗎？
基于有網(wǎng)友對(duì)第二題的提問(wèn)，既然貨幣政策寬松對(duì)短期利率是下降，對(duì)于通脹是上升，那如果題目問(wèn)nominal rate 是不是就是neutral 或者unclear1?
程寶問(wèn)答
