问题如下:
Li is a junior fixed-income analyst in a wealth management firm. By using each component, Li wants to compute the total expected return for a portfolio. The relevant information is shown below:
According to the information above, what is the total expected return of this portfolio?
选项:
A.2.05%
B.2.459%
C.2.451%
解释:
B is correct.
考点:根据各Component计算Expected return
解析:计算各个Component的变化,注意本题没有给出Expected loss和Expected currency gains or loss,默认没有这两部分。
计算yield 和yield spread改变引起的收益时候用的duration要用预测的effective duration的话,那什么时候用MD?