明天有一份作业要交,Hull的那本书已经看了很多,但是还是不知道怎么做?要疯了.强人帮帮忙吧!
那本书看了很多，还不会。那就没办法了。
要帮什么？
我PM美女了,帮忙看看吧.多谢了.
那本不难 是最基本的 而且都有example的啊
而且好像有卖sulution manual的啊
what is your question???
问题很长,我已经PM给MM了，麻烦帮我看一下吧。
wht’s ur questions?
太感激了,我已经PM你了,谢谢你帮我看看.
导数?数学??那应该不会很难吧.
是CFA之类的,帮忙看看吧!谢谢了.
强人,我已经email你了.
不如post上来大家一起讨论一下吧？
好,没问题,就怕东西太多,没人愿意看.哎.
好，上题，希望能人帮忙了。
A UK based bond portfolio manager holds the following long position:
$100,000,000 US Treasury Note, 3.25% 31/12/2016, YTM = 3.114%
$50,000,000 Corporate Bond, GSK 4.85% 15/05/2013, YTM = 2.02% Price = 108.3, Accured Interest = 2.38 MD = 2.75 Rating A+
€25,000,000 Schatz, 4% 04/07/2012, YTM = 0.89%
前提是，assume the volatility in the markets during the next 3 months and remain fully invested, so selling is not an option.
Data:
Spot FX rates
GBP/USD = 1.5115
EUR/USD = 1.3030
GBP/EUR = 1.1650
LIBOR
Maturity GBP USD EUR
1month 0.55469 0.28469 0.37938
3month 0.67844 0.35313 0.61500
6month 0.92844 0.54578 0.91750
12month 1.37188 1.04000 1.22188
FX option volatility
Maturity GBP/USD GBP/EUR
1month 11.00 10.50
2month 11.50 10.75
3month 11.60 11.00
9month 11.80 11.25
12month 11.95 11.50
Bond Futures
CME Group
June 2010 UST Note Futures Price(32nds)117-13 YTM CF
1
Cheapest - to - Deliver 3%, 28/02/2017 3.143% 0.8405
EUREX
June 2010 Schatz Futures Price YTM CF
109.13
CTD 1%, 16/03/2012 0.79% 0.9185
问题就是
- Devise hedging strategy complete with prices, hedge ratios & scenario tests.
- Calculate risk characteristic of the CTD bonds and the bonds futures
- You may also wish to price FX option using the volatility data provided, using currency option pricing models
几年前学的 忘光了
哈哈