Lastly, Edgarton reviews a separate account for Cefrino’s US clients that invest
in Australian government bonds. He expects a stable Australian yield curve over the
next 12 months. He evaluates the return from buying and holding a 1-year Australian
government bond versus buying the 2-year Australian government bond and selling
it in one year.
Exhibit 3 Cefrino Australian Government Bond Portfolio Assumptions for
Stable Yield Curve
Portfolio Strategies Buy-and-Hold Portfolio Ride-the-Yield Curve Portfolio
Investment horizon (years) 1.0 1.0
Bonds maturity at purchase (years) 1.0 2.0
Coupon rate 1.40% 1.75%
Yield to maturity 1.65% 1.80%
Current average portfolio bond price A$99.75 A$99.90
Expected average bond price in one year for
portfolio A$100.00 A$100.10
Expected currency gains or losses –0.57% –0.57%
Q：Based on above, the implied Australian dollar (A$) 1-year rate, 1-year forward is closest to:
A 0.15%.
B 1.95%.
C 2.10%.
ANS：B is correct. The implied forward rate can be calculated using the yield to
maturity (YTM) of the 2-year Ride-the-Yield Curve and 1-year Buy-and-Hold
portfolios.
F1,1 = [(1.018)2/1.0165] – 1 = 1.95%
我的做法：、
先求riding资产的现值：1.75/1.018+101.75/1.018平方=99.90
一年末的值：101.75/1.0165=100.098
（100.098-99.9）/99.9=0.2%
我的做法为什么不对？这里运用的是何老师上课强调的stable curve的问题。
