張同學(xué)
2018-10-29 16:12老師您好！ reading24課后題第9題: 請(qǐng)問(wèn)：答案中If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds.的最后一句“foregone interest income ”怎么理解？stable的yield curve引起的？謝謝啦！ A is correct. Short maturity at- or near-the-money options on long-term bond futures contain a great deal of convexity. Thus, options increase the convexity of the French client’s portfolio. Options are added in anticipation of a significant change in rates. If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
所屬：CFA Level III > Private Wealth 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
Sherry Xie助教
2018-10-29 18:07
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同學(xué)你好，foregone interest income是預(yù)先的利息收入。因?yàn)檫@個(gè)yield curve是stable所以沒(méi)有必要購(gòu)買帶option的Bond來(lái)試圖增加convexcity,所以會(huì)損失購(gòu)買option的premuim和預(yù)期可獲得通過(guò)購(gòu)買convexicity后帶來(lái)的補(bǔ)貼。
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