??智慧
2022-11-26 17:16原版書固收exmaple 29， 117頁的解讀： To offset the existing CDX positions in one year, the investor would sell HY protection and buy IG protection. The investor is able to sell HY protection at a premium of 7.52, resulting in a $178,000 gain from the long CDX HY position over one year (1.093 – 1.0752) × $10,000,000). Since the investor must buy IG protection in one year at a lower discount to par of (1 – 0.99244), it has a $17,800 gain from the CDX IG position (= (0.99244 – 0.99066) × $10,000,000). Subtracting the $400,000 net coupon payment made by the investor results in a one-year loss from the strategy of $204,200 (= $178,000 + $17,800 – $400,000) with constant spreads. 可以解釋一下為什么都是Gain嗎？HY的價(jià)格降低而IG的價(jià)格上升，而剛開始是買了hy, 買貴了不就是虧了嗎，IG賣便宜了
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Nicholas助教
2022-12-01 09:21
該回答已被題主采納
同學(xué)，早上好。
CDX HY是Short方，價(jià)格從109.3減少到107.52，獲益；
CDX IG是Long方，價(jià)格從99.066漲到99.244，獲益。
加油，祝你順利通過考試~
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