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

请问它俩的区别是? 谢谢老师!

请问应变量是什么？同因变量吗？

请问 通过Rp = α + β * Rb, 回归得出的β, 是unleveraged beta? 相关的题目是讲义P158-202的B选项. 老师只说了杠杆贝塔和资产贝塔的关系, 但是没说通过回归得出的贝塔是哪一个贝塔啊...... 谢谢老师!

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%?

SRC中的最后一段 along with the minimum value of 4 for mc to... 为什么一个公式IMA中，前后两个部分对mc有不同的要求，一个大于等于3， 一个大于等于4 这些和回测所确定的mc有什么关系

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。