Repurchase yield for Grinold Kroner Model - 【CFA学习交流讨论】 - CFA论坛

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dyga

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发表于 2011-7-13 16:11 | 只看该作者

2 bond hedge is not an LOS but I can see them asking questions about the process

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justin88

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发表于 2011-7-13 16:11 | 只看该作者

JP_RL_CFA Wrote:
-------------------------------------------------------
> 2 bond hedge is not an LOS but I can see them
> asking questions about the process

There was a large EOC on it though.

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strikethree

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发表于 2011-7-13 16:11 | 只看该作者

that's the whole point of my post. If you are supposed to subtract change in S, then you end up with

D/P - (change in S) --> 4 - -0.5

but the answer is

4 - 0.5 = 3.5

Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 08:34PM by bucky6225.

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