这是哪一个知识点

NO.PZ2020011303000207

问题如下：

Describe the different calculations that must be carried out in a P&L decomposition.

选项：

解释：

We first calculate the carry roll-down. This has two components: the cash-carry (i.e., the coupon payment) and the change in price. In calculating the carry roll-down, we assume that the spread remains unchanged. We then calculate the value of the bond for the actual change in the term structure assuming again that the spread remains unchanged. Finally, we calculate the effect on the bond price of the spread change.

这道题在基础班讲义的哪里

添加评论

1 个答案

已采纳答案

李坏_品职助教 · 2022年02月23日

嗨，从没放弃的小努力你好：

对应知识点是Return Decomposition，valuation and risk models的基础班讲义P158：

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
359
浏览

我要回答关注问题

相关问题

NO.PZ2020011303000207 问题如下 scrithe fferent calculations thmust carrieout in a P L composition. We first calculate the carry roll-wn. This htwo components: the cash-carry (i.e., the coupon payment) anthe change in price. In calculating the carry roll-wn, we assume ththe spreremains unchange We then calculate the value of the bonfor the actuchange in the term structure assuming again ththe spreremains unchange Finally, we calculate the effeon the bonpriof the sprechange. 题目问描述在P L分解中必须进行的不同的计算？首先计算carry roll-wn，这个包含两部分cash-carry（比如说coupon的支付）和价格的改变。在计算carry roll-wn时，我们假设sprea会发生变化。然后，再假设sprea变的情况下，计算债券价格的实际变化。最后，我们计算在sprea化的情况下，对债券价格的影响。 We first calculate the carry roll-wn. This htwo components: the cash-carry (i.e., the coupon payment) anthe change in price. 请详细讲解下这句，为什么carry roll-wn有cash-carry和cash-carry两部分组成？这句的内容在基础讲义哪页？谢谢老师。

2023-04-12 11:30 1 · 回答

请问P&L是什么的首字母？

2020-10-04 11:48 1 · 回答

这是哪一个知识点

1 个答案

1

0

359

相关问题