read10exa5第三題 到期是一時點(diǎn)，負(fù)一時賣出20.148GBP，一時點(diǎn)合同到期買GBPspot平倉再賣一個GBPforward，比較一時點(diǎn)的spot和forward看正負(fù)？但無數(shù)據(jù)啊
這里為什么put價格高，put的隱含波動率也會變高呢？
第4題的第二個comment能否再詳細(xì)解釋一下呢？
case6的第五題0.785和0.75分別指什么呢？算期貨的收益的時候該用哪個呢？0.785還是0.75？
Q17，題中沒有說韓元交易量小，有資本管制，為什么還是NDF？
Q9，買12月的call，為什么不是預(yù)計12月之后漲？
Mason Darden這個case中最少對沖75%，是賣掉25%的遠(yuǎn)期合同還是賣掉75%的？對沖75%的意思：是不是75%的敞口是沒有外匯風(fēng)險的？
官網(wǎng)題衍生23題，匯率104.15哪來了？ The data she uses for her assessment show that the US bonds pay 1.75% and Japanese bonds pay –0.40% annualized. She plans to fully hedge the currency risk. The YEN/USD spot rate is 106.85, the one-year YEN/USD forward rate is 106.12, and the one-year YEN/USD cross currency swap basis is –0.63.A is correct. Stuyvesant can sell US$10,000 converted at a spot rate of 106.85 to invest proceeds of ￥1,068,500 at –0.40%. After one year, the Japanese bonds are sold (1,068,500 × 0.9960 = 1,064,226.00) and converted at the forward rate of 104.15, for proceeds of US$10,218.20. The fund has earned 10,218.20/10,000 – 1 = 2.18%. The 2.18% yield is higher than the 1.75% she could have earned in US Treasury bills. The difference is due to the basis given a high demand for US dollars.
Eurodollar_futures這里，如果long的話是指以固定的利率借錢，那short是怎么理解呢？sells_the_relevant_interest_rate_futures_contract?
精 老師好 這道題為什么不是B？ X=23時, put premium更高?。咳缓笠矝]行權(quán)啊 謝謝
老師，在做Mock2上午題question3-B時，我的答卷如下： expected variance to maturity=382.5 expected payoff=11,000,000 Value of the variance swap=10,890,011 但是答案解析(見圖）不僅沒有按照步驟計算，而且計算結(jié)果由于過程四舍五入的原因，答案最后是10,889,995。 我的第一個問題是：我這道題的答卷能得滿分嗎？ 我的第二個問題是：假如我第三步算錯了（但前兩步都對），答案解析里都沒有按照步驟計算，監(jiān)考老師也不可能單獨(dú)檢查我的各個步驟啊。這樣的話我能得過程分嗎？
CFA網(wǎng)站上的題目：The fund owns 10,000 shares of Inwood Industries, Inc., which is currently trading at US$100.00. Bennett believes that Inwood’s next five quarterly earnings reports will miss consensus estimates but, longer term, there is value in the equity given the company’s strong backlog of new products. The shares are very illiquid to trade, so Tryon wants to hedge the position over this time frame without selling the shares. Park suggests three total return equity swaps for Tryon to consider. Question Which type of total return swap is Tryon most likely to use given his view on Inwood stock equity? Buy a one-year: cash-settled total return payer swap. cash-settled total return receiver swap. physically settled total return payer swap. 為什么選cash-settled total return payer？payer是指付固定，收浮動；我預(yù)計到浮動的收入會降低，應(yīng)該想要收固定，付浮動去對沖。我認(rèn)為應(yīng)該選receiver swap。
老師，12年衍生的答案沒有考慮rounding的問題，我算的結(jié)果是463和64個合約，答案分兩步算的是464和63，協(xié)會當(dāng)時判卷會考慮這個因素嗎？
什么是carrying-cost
精 這個題前面都沒描述portfolio和印度盧比的關(guān)系 難道單純的long forward不行嗎？
程寶問答
金程問答