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%.
9.68%.
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.
是不是说因为stable，所以就没有yield curve 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 down return就越高？
