❤️智慧2022-11-26 17:16:53

原版书固收exmaple 29， 117页的解读： To offset the existing CDX positions in one year, the investor would sell HY protection and buy IG protection. The investor is able to sell HY protection at a premium of 7.52, resulting in a $178,000 gain from the long CDX HY position over one year (1.093 – 1.0752) × $10,000,000). Since the investor must buy IG protection in one year at a lower discount to par of (1 – 0.99244), it has a $17,800 gain from the CDX IG position (= (0.99244 – 0.99066) × $10,000,000). Subtracting the $400,000 net coupon payment made by the investor results in a one-year loss from the strategy of $204,200 (= $178,000 + $17,800 – $400,000) with constant spreads. 可以解释一下为什么都是Gain吗？HY的价格降低而IG的价格上升，而刚开始是买了hy, 买贵了不就是亏了吗，IG卖便宜了