人小匀🍭 · 2022年02月27日
* 问题详情，请 查看题干
NO.PZ201812020100000205
问题如下：
Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:
选项：
A. 0.90%.
B. 2.20%.
C. 3.76%.
解释：
B is correct .
The total expected return is calculated as:
Total expected return = Rolling yield + E(Change in price based on investor’s yield and yield spread view) – E(Credit losses) + E(Currency gains or losses) Rolling yield = Yield income + Rolldown return
新考纲中没有credit loss这一项
NO.PZ201812020100000205 问题如下 BaseonExhibit 2, the totexpectereturn of the funs globbonportfoliois closest to: A.0.90%. B.1.66%. C.3.76%. Bis correct. The totexpectereturn is calculatefollows:Totalexpectereturn = Rolling yiel+/–E(Change in pribaseon investor’s benchmark yielview) +/–E(Change in prie to investor’s view of cret sprea +/–E(Currengains or losses)whereRolling yiel= Coupon income + Rollwn return. 怎么看出题目中的Expecteaverage benchmark yielto-maturity change0.15%不是Prichange，而是δYiel不能直接使用，还需要用公式计算一遍δPrice。
NO.PZ201812020100000205 问题如下 BaseonExhibit 2, the totexpectereturn of the funs globbonportfoliois closest to: A.0.90%. B.1.66%. C.3.76%. Bis correct. The totexpectereturn is calculatefollows:Totalexpectereturn = Rolling yiel+/–E(Change in pribaseon investor’s benchmark yielview) +/–E(Change in prie to investor’s view of cret sprea +/–E(Currengains or losses)whereRolling yiel= Coupon income + Rollwn return. 何老师在将这个case的时候说通常求expectereturn的时候，题目里都会这么假设，在这个假设下第一部分return用P就好了。请问有基于其他假设出题，而不能使用P的题目吗？
NO.PZ201812020100000205 问题如下 BaseonExhibit 2, the totexpectereturn of the funs globbonportfoliois closest to: A.0.90%. B.1.66%. C.3.76%. Bis correct. The totexpectereturn is calculatefollows:Totalexpectereturn = Rolling yiel+/–E(Change in pribaseon investor’s benchmark yielview) +/–E(Change in prie to investor’s view of cret sprea +/–E(Currengains or losses)whereRolling yiel= Coupon income + Rollwn return. 答案是直接加在里面了，为什么不用R=（1+RFC)(1+RFX)-1的解法？
NO.PZ201812020100000205 计算change in pribaseon yielanyielsprea直接用5.19*0.15%不行吗，为什么要考虑convexity变化？
