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- UID
- 222314
- 帖子
- 421
- 主题
- 5
- 注册时间
- 2011-7-2
- 最后登录
- 2014-10-14
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Thanks!
Since the question asks "duration of the portfolio", shouldn't it be $125M since the portfolio is now $125M including the leverage of $25M? The question asks Duration of total portfolio, not just the equity portion of the portfolio. Also, is it really true that if the repo is 2-year then the Duration is 2?
I read every word on this topic in CFAI curriculum but still haven't found satisfactory explanation. |
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发表于 2011-7-11 19:15
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