關(guān)于課后題的第20題，老師能講解一下嗎。 在yield curve strategy這一章。不太理解
關(guān)于第四題，組合b和c怎么判斷哪個(gè)的在投資風(fēng)險(xiǎn)大？
這個(gè)回答很牽強(qiáng)。接近和大于是兩回事。portfolio2再接近也是小于money duration asset啊。
Q2，spread widens by 50 bps，這個(gè)計(jì)算的時(shí)候不用考慮變動(dòng)的方向嗎。因?yàn)槔顢U(kuò)大，應(yīng)該是加上一個(gè)正數(shù)到effective return里吧？
請(qǐng)問如果不是這里舉例的USD fixed 換 AUD fixed, 而是USD fixed換AUD floating, 又或者USD floating 換AUD fixed, 也可以通過這種類似的思路去合成對(duì)不？
Z-score三級(jí)會(huì)考嗎？這里怎么和二級(jí)說的不一樣，1.8~3之間不是無法確定會(huì)不會(huì)破產(chǎn)嗎？
老師，CLO tranches are more advantageous than CDO tranches with similar ratings under an economic slowdown scenario.這句話為啥不對(duì)呢，CLO,CDO都是啥呀
請(qǐng)問CDS price和upfront payment有什么區(qū)別
前面說duration = spread duration，但后面又說公司債券評(píng)級(jí)低，spread duration比duration占比更大，所以對(duì)債券影響更大。有矛盾
An ' analyst manages an active fixed - income fund that is benchmarked to the Bloomberg Barclays US Treasury Index . This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years . The yield curve is upward - sloping and expected to remain unchanged . Which of the following is the least attractive portfolio positioning strategy in a static curve environment ? A、 Purchasing a 10- year zero - coupon bond with a yield of 2% and a price of 82.035 B 、Entering a pay - fixed ,30- year USD interest rate swap C、 Purchasing a 20- year Treasury and financing it in the repo market
為什么買call是增加D
這里?P部分的收益這么沒有考慮凸性啊？
positive butterfly spread指的是中期利率是positive嗎？為什么positive butterfly反倒是negative spread了？
不理解后面兩段話？正的butterfly怎么會(huì)是decrease butterfly spread呢？
Money Duration = Mod Duration × Market Value × 0.01；BPV = Mod Duration × Market Value × 0.01%，BPV=Money Duration x 0.01,也就是說這個(gè)公式對(duì)吧。謝謝老師
程寶問答
金程問答