Reading 16第5题老师，完全看不懂

老师能讲讲第三题吗？课上好像没讲这个futures应该怎么计算profit/loss呀

老师，roll yield 公式里分子分母里的两个S都是指S1嘛？分母的那个S我没看懂，为什么还要除以一个S呀？long forward的return不就是S1-FP0了嘛

这里关于Monte Carlo的优缺点，冲刺笔记里面说缺点是没有考虑税的问题，但是我记得asset allocation里面有上午题答案里面说了，适用于frequent rebalance和consider tax 是它的优点，这里有矛盾之处么

老师，画图讲的看懂了，但是roll yield的经济学解释到底是什么呢？

spread duration是什么？

这里balanced portfolio是什么意思

spread duration是什么？

如果B选项是short put的话就可以选哇？

請問關於multiple liabilities immunization strategy，這樣寫有哪裡需要加強的嗎? he portfolio 2 is appropriate to immunize option 2 liabilities; The requirement to immunize multiple liabilities are 1. BPV of assets = BPV of liabilities; 2. PV of assets => PV of liabilities; 3. Macaulay duration of asset => Macaulay duration of liabilities 4. The convexity of assets is higher than the convexity of liabilities but as small as possible; Only portfolio 2 matches the requirements. Portfolio 1's convexity is higher than portfolio 2. Portfolio 3' convexity is lower than the liabilities.