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黄路迦 · 2024年08月04日

汇率

NO.PZ2018120301000004

问题如下:

After further review of the composition of each of the funds, Cécile makes the following notes:

  • Note 1: Aschel is the only fund of the three that uses leverage.
  • Note 2: Rosaiso is the only fund of the three that holds a significant number of bonds with embedded options.

Based on Note 2, Rosaiso is the only fund for which the expected change in price based on the investor’s views of yields to maturity and yield spreads should be calculated using:

选项:

A.

convexity

B.

modified duration.

C.

effective duration.

解释:

C is correct. Rosaiso is the only fund that holds bonds with embedded options. Effective duration should be used for bonds with embedded options. For bonds with embedded options, the duration and convexity measures used to calculate the expected change in price based on the investor’s views of yields to maturity and yield spreads are effective duration and effective convexity. For bonds without embedded options, convexity and modified duration are used in this calculation.

这道题是不是答案有点问题。它第二句说的是base currency是GBP,那么标价形式应该是EUR/GBP,然后EUR升值0.25%不是相当于GBP贬值0.25%吗,根据

R(DC)=(1+R(FC))(1+(R(FX))—1这个公式,R(FX)应该是—0.25%才对呀,答案为什么是0.25%呢




1 个答案

发亮_品职助教 · 2024年08月05日

这是一道原版书课后题哈,没有错误的。


它第二句说的是base currency是GBP,那么标价形式应该是EUR/GBP


这是一个跨国投资的portfolio,这里的Base currency是指portfolio的最终核算货币是GBP。并不是指汇率标价方式的base currency是GBP。

实际上这道题的汇率标价方式是啥,题目也没说,我们也不需要知道哈。因为最终投资外币资产的汇率部分是盈利还是亏损,题目一定会告诉我们的,不需要自己判断。


注意看题干说EUR will appreciate by 0.25% relative to GBP。表格也做了标注(€ appreciation vs. £)

所以投资的是EUR债券,最后把债券收益换回Base currency GBP时,可以享受到EUR升值的0.25%收益。


这道题的计算是这类题型的标准计算哈,需要掌握。