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Marina_0122 · 2021年04月11日

这个currency gain 还是loss怎么判断比较好

NO.PZ2019103001000038

问题如下:

Amy McLaughlin is a fixed-income portfolio manager at UK-based Delphi Investments. One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629. McLaughlin expected the US dollar to depreciate relative to the British pound by 1.50% during the year. McLaughlin chose the 20-year Treasury bonds because they were on the steepest part of the yield curve.

At the start of last year, the expected return on the portfolio strategy implemented by McLaughlin was closest to:

选项:

A.

9.61%.

B.

9.68%.

C.

12.61%.

解释:

A is correct.

The expected return on the strategy (riding the curve) is calculated as follows.

E(R)≈Yield income + Rolldown return +E(Change in price based on investor's views of yields and yield spreads) - E(Credit losses) + E(Currency gains or losses)

In this case, the E(Change in price based on investor’s views of yields and yield spreads) term is equal to zero because McLaughlin expects the yield curve to remain stable.

这个currency gain 还是loss怎么判断比较好

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已采纳答案

发亮_品职助教 · 2021年04月13日

嗨,从没放弃的小努力你好:


这个currency gain 还是loss怎么判断比较好


这个不用咱们做特别的判断。这种题型,题干一定会给出来Currency gain or loss;如果是正数,就是Currency gain;如果是负数就是Currency losss。


像这道题他给的是 E(Currency gains or losses) = -1.50%,那就是Currency loss,所以是从汇率的角度看,汇率带来的债券策略损失 1.50%

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2019103001000038 9.68%. 12.61%. A is correct. The expectereturn on the strategy (ring the curve) is calculatefollows. E(R)≈Yielincome + Rollwn return +E(Change in pribaseon investor's views of yiel anyielsprea) - E(Cret losses) + E(Currengains or losses) In this case, the E(Change in pribaseon investor’s views of yiel anyielsprea) term is equto zero because McLaughlin expects the yielcurve to remain stable. treasury bon面值一定是100吗?

2021-08-23 23:30 1 · 回答

NO.PZ2019103001000038 是不是说因为stable,所以就没有yielcurve shift带来的return;其次,这个steep和stable并不矛盾,只要不shift,但是越倾斜,得到的roll wn return就越高?

2021-06-09 15:18 1 · 回答

9.68%. 12.61%. A is correct. The expectereturn on the strategy (ring the curve) is calculatefollows. E(R)≈Yielincome + Rollwn return +E(Change in pribaseon investor's views of yiel anyielsprea) - E(Cret losses) + E(Currengains or losses) In this case, the E(Change in pribaseon investor’s views of yiel anyielsprea) term is equto zero because McLaughlin expects the yielcurve to remain stable. 请问US对于GBP贬值,也就是GBP相对于US值1.5%,而公司是UK-base所以GBP是本币,所以1.5%应该是expectecurrengain呀…为什么是要算成loss?谢谢!

2020-11-05 06:31 1 · 回答

请问老师,yielincome 是按照4%计算还是按照 4/当前的债券价格计算呢。我记得有的题目就是直接使用了题目中给的coumpn rate ,这是仅仅适用于债券价格是par的时候吗?是不是所有的题目都应该用真正的coupon/真是价格计算的才准确呀?

2020-03-07 07:04 1 · 回答