It is June 2 and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8years. The cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure? A、Short 94 contracts B、Short 96 contracts C、Short 98 contracts D、Short 105 contracts 答案：C 老师，请问这题标的资产的久期为什么用7.8年，而不用9年呢？

假设一年365天，如果到期日前一天拿到了十块钱，相当于多持有10块钱一天，多拿了第365天的利息。是不是最后要扣除这天的利息？全价和净价说的是这个事吗

102.5+0.167之后为什么要除100，一份面值不是100吗？还有，为什么有1-2%?

i请问视频14分钟那个PPT， p（S, r）是指的什么呢？

请问一级习题集310和311题 为何310若无红利支付用F=S-F*e-rt 而311用（F-K）*e-rt 谢谢

老师您好！请问这题中，折现率用的是哪个1%？感觉2个1%都可以，有什么区别？谢谢。

A portfolio contains three independent bonds each with identical $100 par value, 3% probability of default and LGD of 100%. What is the 95% confident and 99% confident portfolio VaR? A. zero and zero at both 95% and 99% B. $100 and $100 at both 95% and 99% C. $200 at 95% and $300 at 99% D. $285 at 95% and $300 at 99% 解析部分完全没看懂。。。

Rank the following common credit risk mitigation options from greatest security to lowest security: I. Parental guarantee II. Letter of Credit III. Securities as colllateral(with a haircut parameter of 0%) IV.Cash 答案是IV, II, III, I 请老师解答下I, II, III分别是什么，为什么这样排序，谢谢

老师好～请问这道题怎么求解？

请问这道题中的 tranche of a CMO是什么意思