老师请问，77题题干是啥意思？不知道考点

BS模型和蒙特卡洛模拟的关系，以及几何布朗运动

老师，您好，完全没思路，请老师讲一下

An investor is long a long-term ATM put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VaR of the underlying portfolio is 10.4%, which of the following statements about the VaR of the option position is correct when secord-order terms are considered? C. The VaR of the option position is slightly less than USD 5,200. First-order term=5200可以计算得出，但是这里是long put,为什么后面的secord-order term是负的呢？如果这题改成short put, Gamma是负的，是不是就会slightly more than 5200?

A bank had entered in to a 3-year interest rate swap for a notional amount of USD 300 million, paying a fix rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-yr and 2-yr annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices? A. USD -14million B. USD -4 million C. USD 4 million D. USD 14 million 没有想明白老师上课说floating的价值是300million, 请老师总结下计算swap时候floating部分的计算方法，能结合图片更好，谢谢

解释一下

求value是t=0事的值，payoff是时间末的值，settlement是中间时间值. 这样理解对吗

high price是什么意思，这道题怎么理解的

27题不用考虑option的方向吗，position都是负值，delta和gamma的正负号应该跟目前题目给的正好相反，如果这样答案也正好相反了。

90题