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fangxiao · 2020年10月06日

问一道题:NO.PZ2019103001000063 [ CFA III ]

问题如下图:

选项:

A.

B.

C.

您好,麻烦问请教一下墨西哥债券半年后的估值计算机怎么按最快能计算出来100.95 解释:

1 个答案

WallE_品职答疑助手 · 2020年10月08日

同学您好,

用CF的那个键,重复的coupon 比如cf1=7.25/2 后面有一个重复次数,有几次后面就输几次,然后cf2.

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NO.PZ2019103001000063 Because yiel are projecteto remain unchangein the US, UK, Euro, anGreek markets, the 5-yeGreek bon will still pricepin six months anthe US, UK, anEuro bon will realize a negligible priappreciation when they have 4.5 years to maturity. Hence, the locmarket return for eaof these bon will equhalf of the coupon: 0.975%, 0.55%, 0.30%, an2.85%, respectively.  这段话怎么理解?

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NO.PZ2019103001000063 buying the Greek 5-yein eaof the portfolios, heing the currenin the GBP-baseportfolio, anleaving the currenunheein the llar-baseportfolio. buying the Greek 5-yein the Euro-nominateportfolio, buying the Mexic5-yein the GanUSnominateportfolios, anleaving the currenunheein eacase. B is correct. Winston shoulbuy the Greek 5-yebonfor eaportfolio. In the US llportfolio, she shoulleave the currenunhee accepting the exposure to the Euro, whiis projecteto appreciate 1% against the US In the UK portfolio, she shoulhee the bons EUR exposure into GBP. In the Euro-baseportfolio there is no heing cision to ma because the Greek bonis nominatein EUR. Because yiel are projecteto remain unchangein the US, UK, Euro, anGreek markets, the 5-yeGreek bon will still pricepin six months anthe US, UK, anEuro bon will realize a negligible priappreciation when they have 4.5 years to maturity. Hence, the locmarket return for eaof these bon will equhalf of the coupon: 0.975%, 0.55%, 0.30%, an2.85%, respectively. The Mexic5-yewill priceto yiel7.0% the enof the perio Its priwill Its locmarket return is therefore 4.576% = (100.9501 + 7.25/2)/100. covereinterest parity, the cost of heing a boninto a particulcurrenis the short-term (six months here) rate for the curreninto whithe bonis heeminus the short-term rate for the currenin whithe bonis nominate For heing US, UK, anMexicbon into Euros for six months the calculation is: USinto EUR: (0.15% – 1.40%)/2 = –0.625% Ginto EUR: (0.15% –0.50%)/2 = –0.175% MXN into EUR: (0.15% – 7.10%)/2 = –3.475% (Note tha negative number is a cost while a positive number woula benefit.) Combining these heing costs with eabons locmarket return, the returns heeinto EUR, whicnow valiy compare are: US: 0.975% + (–0.625%) = 0.350% UK: 0.550% + (–0.175%) = 0.375% MX: 4.576% + (–3.475%) = 1.101% GR: 2.850% + 0 = 2.850% EU: 0.300% + 0 = 0.300% The Greek bonis fthe most attractive investment. This woulstill true if returns were heeinto USor GBP. So, the Greek 5-yeshoulpurchasefor eaportfolio. Whether or not to actually hee the currenexposure pen on if the cost/benefit of heing is greater ththe projectechange in the spot exchange rate. For the llar-nominateportfolio, heing the Greek boninto USwoul“piup” 0.625% (the opposite of heing USinto EUR). But EUR is expecteto appreciate 1.0% against the llar, so it is better to leave the bonunheein the USnominateportfolio. Heing EUR into Gpicks up 0.175% of return. SinEUR is projecteto remain unchangeagainst GBP, it is better (from expectereturn perspective) to hee the Greek boninto GBP. A is incorrebecause it cseen from the explanation for B above ththe Greek 5-yebonis fthe most attractive investment, returning 2.85% compareto the Mexic5-yebons return of 1.101%. If the returns for these bon were heeinto USor G(insteof EUR), in eacase the return on the Mexic5-yebonwoulstill inferior to thof the Greek 5-yebon C is incorrebecause it cseen from the explanation for B above ththe Greek 5-yebonis fthe most attractive investment, returning 2.85% compareto the Mexic5-yebons return of 1.101%. If the returns for these bon were heeinto USor G(insteof EUR), in eacase the return on the Mexic5-yebonwoulstill inferior to thof the Greek 5-yebon Moreover, over the 6-month investment horizon the MexicPeso is expecteto preciate against both the GanUS further impairing the unheereturns on the Mexic5-yebonin GanUSterms. 不好意思,没看懂答案,请一下

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