问题如下：
The hypothetical Orion trade generated an approximate:
选项：
A.loss of £117,000.
B.gain of £117,000.
C.gain of £234,000.
解释：
B is correct.
The gain on the hypothetical Orion trade is £117,000, calculated as follows.
Approximate profit = Change in credit spread (in bps) × Duration × Notional amount
Approximate profit = (150 bps – 100 bps) × 3.9 × £6 million
Approximate profit = .005 × 3.9 × £6 million = £117,000
The SWF gains because they sold protection at a spread of 150 bps and closed out the position by buying protection at a lower spread of 100 bps.
我这里理解的错误在哪？Gain或Loss其实本质是求价格的变动，可不可以理解为P(+) - P(-)。 就用Effective duration的公式，反向求出？因此3.9*2*0.05*6M呢？
