标题: L3 fix income problem [打印本页]
作者: ssigh 时间: 2012-5-27 10:50 标题: L3 fix income problem
contribution to spread durantoin:credit sector is 1.1,treasury sector is 0
Forecast1:spreads to narrow in all other spread sectors
Forecast2:a positively sloped yield curve with short rates rising 25 basis points and long rates rising by about 75 basis points.
ans:lengthen duration in credit sector and shorten it in the treasury sector
虽然forecast1 说spread to narrow，所以asset price will go up
但Forecast2也说了rates rising啊，asset price不会下跌吗？
作者: yz2006 时间: 2012-5-27 13:31
Forecast1里说了“spreads to narrow in all other spread sectors”，所以credit 会outperform -- 这就需要我们lengthen spread duration
Forecast2里的主要提到的是随着利率提高而造成的interest rate risk, 所以要shorten duration来规避利率风险
作者: ssigh 时间: 2012-5-28 11:36
回复 2# yz2006
hedges interest risk，不是应该short duration in credit sector吗？credit sector 的duration比treasury sector大啊。
作者: Hang-Directions 时间: 2012-5-28 13:34
Forecast 2 implied a non-parallel shift movement, rather a parallel change that can be hedged by duration adjustment.
作者: joysonhku1 时间: 2012-5-28 16:05
对的，narrow 表示credit的相比treasury， spread premium 降低，表示credit价格升高，
而第2仅是对treasury来讲，长期的价格会下降
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