發(fā)布時間:2021-06-28 09:13編輯:融躍教育FRM
FRM公式對于備考中的考生重要嗎?這是備考FRM中所遇到考生咨詢zui多的問題,因為在考試中有大量的計算題,因此,F(xiàn)RM公式是很重要的,考生一定要熟記并且會熟練運用!
Delta-Neutral Hedging:》》》戳:免費領(lǐng)取FRM各科視頻講義+歷年真題+21年原版書(PDF版)
?To completely hedge a long stock/short call position, purchase shares of stock equal to delta x number of options sold.
?Only appropriate for small changes in the value of the underlying asset.
?Gamma can correct hedging error by protecting against large movements in asset price.
?Gamma-neutral positions are created by matching portfolio gamma with an offsetting option position.
Yield to Maturity (YTM):》》》點我咨詢21年FRM備考技巧
The YTM of a fixed-income security is equivalent to its internal rate of return. The YTM is the
discount rate that equates the present value of all cash flows associated with the instrument to its price. The yield to maturity assumes cash flows will be reinvested at the YTM and assumes that the bond will be held until maturity.
Relationship Between YTM and Coupon:
The bond with the smaller coupon will be more sensitive to interest rate changes. With all else being equal.【資料下載】[融躍財經(jīng)]FRM一級ya題-pdf版
? the lower the coupon rate, the greater the interest rate risk.
? the higher the coupon rate, the lower the interest rate risk.
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