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Roflnadal

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11# 跳转到 »
发表于 2011-7-11 19:17 | 只看该作者
bulldog i like it like this

(Duration of option*price of option)/(duration of underlying*price of underlying)

= Option delta

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aidebaobao

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12#
发表于 2011-7-11 19:17 | 只看该作者
pimpineasy Wrote:
-------------------------------------------------------
> bulldog i like it like this
>
> (Duration of option*price of option)/(duration of
> underlying*price of underlying)
>
> = Option delta


Thanks!

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liangfeng

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13#
发表于 2011-7-11 19:17 | 只看该作者
2. mbs are market-directional investment that should be avoided when one expect interest rates to __________.

So, everyone says fall.

But, when yields fall, the price increases but then levels off/falls due to the negative convexity. When yields rise, the price falls (but not as much as a corporate bond). So, is it really correct to say that you would avoid MBS if you expect rates to decrease? doesnt seem like you would buy them if rates were increasing.

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Analti_Calte

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14#
发表于 2011-7-11 19:17 | 只看该作者
jmac01 Wrote:
-------------------------------------------------------
> 2. mbs are market-directional investment that
> should be avoided when one expect interest rates
> to __________.
>
> So, everyone says fall.
>
> But, when yields fall, the price increases but
> then levels off/falls due to the negative
> convexity. When yields rise, the price falls (but
> not as much as a corporate bond). So, is it
> really correct to say that you would avoid MBS if
> you expect rates to decrease? doesnt seem like
> you would buy them if rates were increasing.

If CFAI tells me my name is "Goat" then my name is indeed, Goat.

NO EXCUSES

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strikethree

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15#
发表于 2011-7-11 19:17 | 只看该作者
jmac01 Wrote:
-------------------------------------------------------
> 2. mbs are market-directional investment that
> should be avoided when one expect interest rates
> to __________.
>
> So, everyone says fall.
>
> But, when yields fall, the price increases but
> then levels off/falls due to the negative
> convexity. When yields rise, the price falls (but
> not as much as a corporate bond). So, is it
> really correct to say that you would avoid MBS if
> you expect rates to decrease? doesnt seem like
> you would buy them if rates were increasing.


I think this statement would apply if you take a relative approach, say, in relation to straight corporate bonds. Because of the negative convexity from the prepay option in MBS's, you would rather be long option-free bonds if rates fall, all else being equal.

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ohai

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16#
发表于 2011-7-11 19:17 | 只看该作者
bpdulog Wrote:
-------------------------------------------------------
> Duration of option = Option delta*duration of
> underlying*(price of underlying/price of option)


Personally, I would say that duration of an option is just rho which would not be exactly the same as this because the option is sensitive to interest rates even if the underlier isn't. Is this (cheesy) definition in one of your books?

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Colum

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17#
发表于 2011-7-11 19:17 | 只看该作者
absolutely

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thommo77

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18#
发表于 2011-7-11 19:17 | 只看该作者
JoeyDVivre Wrote:
-------------------------------------------------------
> bpdulog Wrote:
> --------------------------------------------------
> -----
> > Duration of option = Option delta*duration of
> > underlying*(price of underlying/price of
> option)
>
>
> Personally, I would say that duration of an option
> is just rho which would not be exactly the same as
> this because the option is sensitive to interest
> rates even if the underlier isn't. Is this
> (cheesy) definition in one of your books?

Yup!

NO EXCUSES

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