CFA 2018 Level 2 Fixed Income
Teks penuh
Garis besar
Dokumen terkait
At what rate must the structurer start immunizing his portfolio if he invests all the funds a 10-year corporate zero coupon bond yielding 8%.. (Hint: you must first calculate
He invests 70% of the client fund in a zero coupon 10-year Treasury bond and 30% remaining in the MSCIF Aggressive Fund.. Can you guarantee the client’s capital at maturity (10
Calculate the value of the equity forward contract to the long position, assuming the risk-free rate is still 5% and the yield curve is flat... One month ago, Troubadour
In order to produce the benchmark bond values equal to the market prices, so that the Monte Carlo model fits the current spot curve and is arbitrage free, a constant called a
One-sided durations — that is, the effective durations when interest rates go up or down — are better at capturing the interest rate sensitivity of a callable or putable bond than
A lower rate of 4 percent is considered appropriate to discount the term rent because it is less risky than market rent (ERV). Estimate the value of
GGM equity risk premium estimate = Dividend yield on the index based on year-ahead aggregate forecasted dividends and aggregate market value + Consensus long-term earnings
The change in yield spread and hence the price of the bond due to changes in credit rating can be described as credit migration risk.. When the security has to be sold below
