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ladycoco想放假 · 2020年11月10日

问一道题:NO.PZ2019011002000024 [ CFA II ]

问题如下:

TXT is a derivatives trading company. The derivatives trading company sold $10 million five-year CDS protection on company D. The CDS contract has a duration of 3.5 years. 3 months later, the credit spread on company D narrowed from 225bps to 165 bps.

According to the information above, if TXT enters into an offsetting position, it will generate a profit closest to:

选项:

A.

0.21 million

B.

0.58 million

C.

0.79 million

解释:

A is correct.

考点:计算CDS的盈利.

解析:

根据公式,TXT的盈利为:

Profit for TXT = changes in spread in bps × duration × notional

=(225bps-165bps)×3.5×10million

=  0.21 million

请问题目里提到3个月,这个条件需要用到吗?用不用把spread年化之类的
1 个答案

WallE_品职答疑助手 · 2020年11月10日

不用的,

这里头寸已经平掉了 算的差不多想到与持有期收益率,不需要年化。