In the case of the 10-year this would mean paying fixed at 3% timed to match the 3% annual coupon from the bond and receiving a spread to the 6-month floating rate. (Institute 176) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老师您好！ 请问reading24第section 5中的example 4中的这句话，paying fixed at 3%，为什么不是10年期的5.91%？ 我看其他题目中都是以题目中给出的表格中的各期的YTM为互换固定方利率呀 谢谢！

By construction, the forward rates are the sequence of future one-period discount rates imbedded in the value of all swap tenors today. At the end of the first period, the current short-term (6-month) rate will drop out of the sequence. If the rest of the series remains the same—which is what it means for the curve to move to the forward rates—then the fixed side of every swap will increase in value by exactly the current short rate. Of course, that is the rate being paid on the floating side of the swaps, so each tenor breaks even. (Institute 140) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老师您好！ Reading24P140页的案例最后一段， 1、这个break even怎么理解呀？ 2、书中说“then the fixed side of every swap will increase in value by exactly the current short rate”，在上文中increase in value不是33bp吗？难道应该是the current short rate—2.03%？实在不理解！ 谢谢老师的耐心！

Standard arbitrage arguments imply that the futures contract price should equal the cost of buying the bond today and financing it to the futures delivery date less the yield earned before delivery. (Institute 137) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老师您好！ reading24中关于carry trade 这段话怎么理解？能否麻烦用算式演示一下？ 感谢！

老师您好！ reading24课后题中的第20题，为什么不选portfolio 1 ？ 因为steepen，可以选择一个bullet呀？ portfolio 1 的1、3、30年均比current portfolio降低，5、10年的均增加，不是一个很好的bullet吗？ 谢谢！

This condor is structured so that it benefits from a decline in curvature, where the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve. (Institute 226) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老师您好！ reading24课后题第19题中提到的这个condor，答案中提到的the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve，这个变化过程，能否麻烦画两张图给看一下？辛苦啦！非常感谢！

Hirji also proposes the following duration-neutral trades for the French institutional client: Long/short trade on 1-year and 3-year Canadian government bonds Short/long trade on 10-year and long-term Canadian government bonds (Institute 214) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老师您好！reading24课后题中这个condor要求duration-neutral，而不是教材中写的“money duration neutral”，后面的2s的allocation计算是依照money duration neutral计算的，不严谨？

老师您好！ reading24课后题第12题提到loses curvature，我画了图应该是指图一、图二，但是我想问的是：图三、图四是不是也是一种可能性呢？这样就增加了curvature呀？ 谢谢老师！ C is correct. Hirji proposes an extreme bullet portfolio focusing on the middle of the yield curve. If the forecast is correct and the yield curve loses curvature, the rates at either end of the curve will rise or the intermediate yields will drop. As a result, bonds at the ends of the yield curve will lose value or the intermediate bonds will increase in value. In either case, the bullet portfolio will outperform relative to a more diverse maturity index portfolio like the benchmark. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.

老师您好！ reading24课后题第11题答案：Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 请问上述公式是否正确？ 教材中不是说：money duration=market value*duration吗？PVBP本身也是money duration的概念，两个money duration相除能得到2-year bond 的market value？ 谢谢！

老师您好！ reading24课后题第10题答案中提到“Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature.”，后面又提到short end get steeper，long end get flatter，这两点和curvature是什么关系呢？ 洪老师课件中提到“笑脸”是convexity，所以我选了A，但是后面的解释不理解。谢谢！ A is correct. The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.

老师您好！ reading24课后题第9题: 请问：答案中If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds.的最后一句“foregone interest income ”怎么理解？stable的yield curve引起的？谢谢啦！ A is correct. Short maturity at- or near-the-money options on long-term bond futures contain a great deal of convexity. Thus, options increase the convexity of the French client’s portfolio. Options are added in anticipation of a significant change in rates. If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.