开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

dabai · 2019年05月11日

问一道题:NO.PZ2019011002000023 [ CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:

期初卖protection后期买protection难得不是选项A的说法吗?

1 个答案

吴昊_品职助教 · 2019年05月11日

这个是英文表述的理解问题了。A选项说的是“Sell protection on Company D”说明现在以一个更高的保费卖protection,比三个月之前收到的保费更高。说明三个月前我们也是卖保险,现在也是卖保险。所以A是错误的。而B选项说:现在以一个更低的保费买protection,相比三个月前收到的保费更低。说明三个月前卖保险,现在是买保险。所以选B。

  • 1

    回答
  • 1

    关注
  • 377

    浏览
相关问题

NO.PZ2019011002000023问题如下TXT is a rivatives trang company. It wants to tra single-name C to a profit over time. The rivatives trang company wants to sell $10 million five-yeC protection on company TXT believes th3 months later, the cret spreon company will narrow from 225bps to 165 bps.Accorng to the information above, if TXT wants to close the position, it shoulSell protection on company a higher premium thit receivefor the C contra3 months before. Buy protection on company a lower premium thit receivefor the C contra3 months before. Buy protection on company a higher premium thit receivefor the C contra3 months before. B is correct.考点对C盈利的理解解析TXT公司预测Company Cret sprea三个月内会降低,因此在期初TXT可以卖出Protection,赚取更高的Premium,三个月后,当Company Cret sprea降时,TXT可以以更低的价格买入C Protection,平掉头寸。TXT公司盈利,因为他们卖出C protection时,赚取的是225bps的Cret sprea而平掉头寸买入C protection时,支付的是165bps的cret spreaTXT赚取中间差价。预期sprea降,一开始要先卖掉protection,对应的不是A吗?

2024-05-09 09:35 1 · 回答

NO.PZ2019011002000023 问题如下 TXT is a rivatives trang company. It wants to tra single-name C to a profit over time. The rivatives trang company wants to sell $10 million five-yeC protection on company TXT believes th3 months later, the cret spreon company will narrow from 225bps to 165 bps.Accorng to the information above, if TXT wants to close the position, it shoul Sell protection on company a higher premium thit receivefor the C contra3 months before. Buy protection on company a lower premium thit receivefor the C contra3 months before. Buy protection on company a higher premium thit receivefor the C contra3 months before. B is correct.考点对C盈利的理解解析TXT公司预测Company Cret sprea三个月内会降低,因此在期初TXT可以卖出Protection,赚取更高的Premium,三个月后,当Company Cret sprea降时,TXT可以以更低的价格买入C Protection,平掉头寸。TXT公司盈利,因为他们卖出C protection时,赚取的是225bps的Cret sprea而平掉头寸买入C protection时,支付的是165bps的cret spreaTXT赚取中间差价。 是不是在0时刻借来c卖掉,获得高价,3个月后c降价的预期落地后,以买该公司的c,归还0时刻借来的c,头寸平调,获得价差?这是也是衍生品自带杠杆的体现?

2024-03-30 18:54 1 · 回答

Buy protection on company a lower premium thit receivefor the C contra3 months before. Buy protection on company a higher premium thit receivefor the C contra3 months before. B is correct. 考点对C盈利的理解 解析 TXT公司预测Company Cret sprea三个月内会降低,因此在期初TXT可以卖出Protection,赚取更高的Premium,三个月后,当Company Cret sprea降时,TXT可以以更低的价格买入C Protection,平掉头寸。TXT公司盈利,因为他们卖出C protection时,赚取的是225bps的Cret sprea而平掉头寸买入C protection时,支付的是165bps的cret spreaTXT赚取中间差价。卖保险,不是sell protection? 那不是A吗

2020-08-06 15:36 1 · 回答

老师请问,cret sprea高到低,高的时候不就应该买保险即buy C做空,低的时候不就应该卖保险sell C做多吗?

2020-07-26 14:37 1 · 回答

老师好, 这里TXT 是不是一开始short C 得一个较高的premium, 然后现在cret spreops, 所以TXT 就long c, 相当于去buy 一个c a lower premium. 赚里面的premium 价差? 谢谢。

2020-06-22 07:29 1 · 回答