首页 | 学习中心 | 注册 登录
12
返回列表 发帖
Siddimaula

Rank: 2

UID
223260 
帖子
267 
主题
112 
注册时间
2011-7-11 
最后登录
2013-9-22 
11# 跳转到 »
发表于 2013-4-10 23:43 | 只看该作者
I agree with u NG30, how can it be the cost. I guess that difference -7.4 is the convexity effect.

TOP

thommo77

UID
222320 
帖子
448 
主题
21 
注册时间
2011-7-2 
最后登录
2015-12-8 
12#
发表于 2013-4-10 23:43 | 只看该作者
This is the sh!t that pisses me off. I would MUCH rather Schweser cover more stuff than be all selective about sh!t and throw out the old “oh, hmm you don’t need to know any of this.”
Seriously, what bullsh!t. It seems like 1/4 of the stuff I’ve come across on the CFAI samples and mock exams are things that Schweser specifically went out of their way to say we don’t have to know. WTF?
It’s like they want people to do good enough to feel like their study notes helped, but not good enough that everyone passes. Think about it… How much more $$ does Schweser make on people that pass the exams in 5 tries compared to those going 3/3? They have incentive to not teach this stuff very well.

TOP

mfleming1983

Rank: 2

UID
223195 
帖子
191 
主题
148 
注册时间
2011-7-11 
最后登录
2013-8-23 
13#
发表于 2013-4-10 23:44 | 只看该作者
Well at least they only charge half the second time around.

TOP

Kiakaha

Rank: 2

UID
222243 
帖子
265 
主题
127 
注册时间
2011-7-2 
最后登录
2013-8-20 
14#
发表于 2013-4-10 23:44 | 只看该作者
spud, in question number one he is using a sole treasury futures contract to hedge.
in the last question of the item set, they show a duration hedge and a two bond hedge. to correctly hedge the GNMA and account for the negative convexity you need to use the two bond hedge.
If you use the two bond hedge while holding the GNMA, you’ll notice that the difference between the two is -.074. This is essentially your cost of performing the hedge. You earn a spread of 168 basis points on the GNMA annually or 168/12 = 14 bps per month and therefore you are able to cover the costs of the hedge.
Make sense?

TOP

lucasg85

Rank: 2

UID
223421 
帖子
317 
主题
7 
注册时间
2011-7-11 
最后登录
2014-8-7 
15#
发表于 2013-4-10 23:44 | 只看该作者
Your logic to each of those question makes complete sense.
BUT how on earth do you know in question number one that he using a treasury future and in the last question they are using a two bond hedge? From what I see, the item set is exactly the same and the questions are exactly the same. It doesn’t say anywhere which one they are using for which question?!

TOP

Micholien

Rank: 2

UID
223285 
帖子
248 
主题
118 
注册时间
2011-7-11 
最后登录
2013-9-12 
16#
发表于 2013-4-10 23:45 | 只看该作者
Ditto Spud (& Plyon on another thread). WTF is going on here? The questions are exactly the same, no reference to which one to use - is there an answer to this?

TOP

12
返回列表