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CFA问答
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对于CrossOverRate的定量计算，老师的上课举例中，第一步和第二步我都听懂了，但是我就不太明白为何还需要第3步（构建个新的项目C）？第二步中不就已经可以计算出CrossOVerRate了么？
这道例题中coupon rate 约定的是10%， 后面TYM & reinvestment rate 为12%。 这个变化和约定的coupon rate有什么 关系吗？为什么计算中不使用约定的coupon rate 10% 计算每年的coupon，而是以12%计算的？
已回答
老师：解释这个题。谢谢！Pierre-Louis Robert just purchased a call option on shares of the Michelin Group. A few days ago he wrote a put option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying. Considering both positions, Robert’s exposure to the risk of the stock of the Michelin Group is: long. short. neutral. Solution Solution A is correct. Robert’s exposure to the risk of the stock of the Michelin Group is long. The exposure as a result of the long call position is long. The exposure as a result of the short put position is also long. Therefore, the combined exposure is long.
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