Sophia
2020-10-04 23:09對(duì)于老師說(shuō)的正負(fù)butterfly以及原版書(shū)例題 后來(lái)協(xié)會(huì)有發(fā)勘誤說(shuō)明嗎 這部分還需要看嗎
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Nicholas助教
2020-10-10 11:16
該回答已被題主采納
同學(xué)，早上好。
這部分有勘誤，勘誤如下，建議跳過(guò)。
In Example 8 (pages 209 to 211 of print), questions 2, 3, and 4 and their solutions should be deleted. The solution to 1 should be modified as follows: “Although the portfolios all have the same effective duration, the impact of the shift factor is largest (in absolute value) for the Bullet and smallest for the Barbell. This result reflects the fact that actual shifts in the curve are not parallel. The larger rate increase at the intermediate maturities disproportionately impacts the Bullet portfolio. The flattening twist favors the Barbell as short rates rise and long rates decline—the gains at the long end more than offset losses on the short end. The butterfly also favors the Barbell, which is unaffected by the rise in rates at the intermediate maturities but profits from the decline in rates at the long and short ends of the curve.”
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