问题如下图：
选项：
A. 
B. 
C. 
解释：
请问，A选项，如果forward签成payGBP receive EUR 虽然 hedge了汇率风险 是不是也就没有return了啊？
发亮_品职助教 · 2019年12月05日
嗨，努力学习的PZer你好：
"A选项，如果forward签成payGBP receive EUR 虽然 hedge了汇率风险 是不是也就没有return了啊？ "
不会的，仍然有Return。而且换了方向之后，这就是一个标准的Currency-neutral、Duration neutral的Carry trade。
如果把Foward换成了Pay GBP Receive EUR，是把Hedge GBP into EUR，根据Covered interest rate parity，将GBP hedge成EUR，Foward带来的收益为：
也就是我们支出GBP现金流、收到EUR现金流。
因为我们签订的是一个6-month的Forward，所以Foward定价公式里的Rate是6个月的Rate，也就是说用Foward hedge，我们支出的是6-month GBP利率、收到的是6-month EUR利率；
那A选项的总头寸就为：投资3-year UK bond、支出3-year German EUR利率；Foward带来的：支付6-month GBP利率，收到6-month EUR利率；
整理一下就是：
UK市场：投资3-year、支付6-month
EUR市场：收到6-month、支3-year
这样的话，这就是在UK市场上，借短期6-month、投长期3-year，赚取息差；在German（EUR）市场，借长期3-year、投短期6-month，构建负的Duration组合，和UK市场的正Duration结合形成Duration-neutral策略。
所以，把A选项的Foward换个方向之后，就是标准的：Currency-neutral/Duration neutral的Carry trade。
-------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
Receive fixepfloating on a 3-yeGinterest rate swanreceive floating/pfixeon a 3-yeEUR interest rate swap. Buy the T-note futures contraansell the Germnote futures contrafor livery in six months. B is correct. In orr to ration-neutrancurrency-neutral, the tra must lenlong/borrow short in one market an the opposite (lenshort/borrow long), with the same maturities, in another market. The best carry is obtainelenng long/borrowing short on the steepest curve anlenng short/borrowing long on the flattest curve. The Gcurve is the steepest anthe EUR curve is the flattest. The largest yielsprebetween these markets is 0.55% the 3-yematurity, anthe narrowest spreis 0.35% the 6-month maturity. Hence, the best tra is to go long the G3-year/short the EUR 3-yeanlong the EUR 6-month/short the G6-month. This cimplementein the swaps market receiving 3-yefixepaying 6-month floating in Ganing the opposite in EUR (receiving 6-month floating/paying 3-yefixe. The net carry is +0.10% = [(0.95% – 0.50%) + (0.15% – 0.40%)]/2 for six months. A is incorrect. The FX forwarposition state(pEUR/receive GBP) correspon to implicitly borrowing EUR for six months anlenng Gfor six months. Correexecution of the tra woulrequire the opposite, receiving EUR anlivering G6 months forwar C is incorrect. This combination of futures positions es create a ration-neutral, currenneutrcarry tra, but it is not the highest available carry. Sinthe T-note futures prireflects the pricing of the 5-yenote cheapest to liver, the long position in this contrais equivalent to buying the 5-yeTreasury anfinancing it for 6 months. This generates net carry of 0.275% = (1.95% – 1.40%)/2. Similarly, the short position in the Germnote futures is equivalent to being short the 5-yeGermnote anlenng the procee for 6 months, generating net carry of –0.225% = (0.15% – 0.60%)/2. The combinecarry is 0.05%, half of whis available on the position in 话说，这题是哪个考点啊？强化讲义上有吗？
请问一下这道题中怎么判断收益率曲线的steep和flat，为什么uk最陡峭，eu最平
T-note是啥，题干哪里有呢？不太明白C的含义，麻烦老师，谢谢！
如果A的forwar做反求A的carry tra
怎么判断什么时候要划算成heereturn，什么时候不用呢？