Schweser Volume 2, Exam 1, 17.5
Background: Market uncertainty will drive up interest rate volatility.
Watson has become quite interested in the MBS market lately. In addition to an increased allocation to investment grade, she has reallocated a portion of the corporate bond portfolio to MBS. She argues that, although a moderate drop in rates could move their prices slightly higher, corporate bonds on net could fall in value because of increased uncertainty in yields. MBS, on the other hand, should experience a net increase in value. She identifies this strategy as a structure trade.
题问whether she has properly identified and executed her strategy.
答案：Yes, for both，因为increased in interest rate volatility will increase the value of MBS...
MBS不是相当于writing a call, value = Bond value without option - call option price吗？
如果不考虑volatilityInterest rate drop, bond value上涨，call option value也上涨，所以涨得比没有option的少。。。
如果volatility的影响大于interest rate drop，那也应该是双降才对，MBS降得比无权债券更多（option value由于volitility增大进一步上涨），为何会同时出现无权债价格下跌，MBS价格上涨？ | 
发表于 2010-5-31 16:33
| 