首页 | 学习中心 | 注册 登录
返回列表 发帖
John10

Rank: 2

UID
222259 
帖子
238 
主题
60 
注册时间
2011-7-2 
最后登录
2014-6-29 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 13:30 | 只看该作者

Credit Spread Forward : Long or short

short
R30 : CFAI text V4 Q4 on P.148

The statement : She decides to enter into a six-month Credit Spread Forward
contract "taking the position that the Credit Spread will decrease".

Is this a long or short position by "taking the position that the Credit Spread will decrease". Please judge before you refer to the solution on P.158.

How do you judge ?
收藏 分享

infinitybenzo

Rank: 2

UID
222323 
帖子
377 
主题
10 
注册时间
2011-7-2 
最后登录
2016-2-5 
2#
发表于 2011-7-13 13:30 | 只看该作者
I assume she is short, since she is betting against worsening credit conditions

TOP

bboo

UID
218223 
帖子
533 
主题
154 
注册时间
2011-5-26 
最后登录
2012-9-12 
3#
发表于 2011-7-13 13:30 | 只看该作者
rosengri Wrote:
-------------------------------------------------------
> I assume she is short, since she is betting
> against worsening credit conditions

Credit Spread decrease means improving credit condition rather than worsening credit condition.

TOP

Iginla2011

Rank: 2

UID
222302 
帖子
408 
主题
11 
注册时间
2011-7-2 
最后登录
2016-6-23 
4#
发表于 2011-7-13 13:30 | 只看该作者
yes, that was my thought - bet against worsening, i.e. bet for improving

TOP

mp3bu

UID
222307 
帖子
669 
主题
24 
注册时间
2011-7-2 
最后登录
2016-1-10 
5#
发表于 2011-7-13 13:30 | 只看该作者
hey guys,

can anyone refresh our memories with the formula for the payoff, please? I remember that it is something involving the notional, some kind of risk factor and the difference between the strike spread and the spread @ expi, but would it be (strike -spread @ expi) or (spread @ expi- strike) from the LONG perspective?
I would go for the second, any idea?

Thanks,
M.

TOP

Analyze_This

Rank: 2

UID
222321 
帖子
677 
主题
10 
注册时间
2011-7-2 
最后登录
2016-4-19 
6#
发表于 2011-7-13 13:31 | 只看该作者
from the LONG perspective : (spread @ expi- strike) x NP x risk factor

TOP

ohai

Rank: 2

UID
222303 
帖子
400 
主题
8 
注册时间
2011-7-2 
最后登录
2015-11-28 
7#
发表于 2011-7-13 13:31 | 只看该作者
it depends on if you're long or short a call or put. you're either short a call or long a put in this example (on the SPREAD)

TOP

Valores

Rank: 2

UID
222324 
帖子
403 
主题
7 
注册时间
2011-7-2 
最后登录
2015-11-28 
8#
发表于 2011-7-13 13:31 | 只看该作者
@FICC_chk

"The payoff to the investor who is long the credit spread forward is = MAX [spread at expiration - strike spread, 0] x Notional Principal x Risk Factor "


If it is Credit spread FORWARD, why did you use MAX in the formula. It is not an option ???

TOP

thommo77

UID
222320 
帖子
448 
主题
21 
注册时间
2011-7-2 
最后登录
2015-12-8 
9#
发表于 2011-7-13 13:31 | 只看该作者
Just came across this question - quite tricky bit (schweser only got eg on long position and didnt say so). So in summary:


Long position - investor expects credit to worsen and spread widen, so payoff will be Spread at maturity LESS Strike spread x Notional Amount x Risk factor.

Short position - investor expects credit to improve and spread narrow, so payoff will be Strike spread Less Spread at maturity x Notional Amount x Risk factor.

(Note no max bec the payoff is symmetrical)

TOP

返回列表