NO.PZ202303270300007701
问题如下：
(1) What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?
选项：
A.–0.257%
–0.850%
解释：
A is correct. We solve for the excess spread by subtracting Expected Loss from the respective OAS
Recall that the United States-based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) -1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return -1.314% in US dollar terms = (1 + ((0.65% + 0.75%)/2)) × 0.98) – 1, so -0.257% = (0.80%-1.314%)/2.
老师好，听何老师讲解。本题步骤先是得到us两个债券的excess return，然后加总除以2，再计算得出eur两个债券的excess return，加总除以2再进行foreign currency转换为domestic currency，最后得到us和eur的对应本币的return，然后加总除以2。
为什么要进行两步加总除以2的过程？
为什么不能直接在刚开始计算dc的时候就除以4？不是equally weighted嘛？
