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moon · 2019年09月21日

问一道题:NO.PZ2016071602000019

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


long convertible band不是long duration吗?simplied volatility 和position gamma的信息从哪里看出呢?

1 个答案

品职答疑小助手雍 · 2019年09月23日

同学你好,可转债出了债券以外还包含着一个call option,call option可以包含underlying股票的波动性和价格变化。但是option比stock多了个gamma,单纯使用stock对冲不掉这个gamma。

Eve · 2020年03月14日

请问 long convertible bond和 short treasury两个position,是怎么影响duration的呢?

品职答疑小助手雍 · 2020年03月14日

long一个bond,又short一个bond,对duration没影响。

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