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.
这里不是很理解，为什么还要除以2，之前0.8%和-1.134%不都是已经带权重进去算过了？
另外题目表述：international credit portfolio index equally weighted across the four portfolio choices，那理论上应该各自是25%权重啊，我也不太清楚为什么是除以2，而不是各自乘以 25%？比方说USD方面，IG和HY的EXR分别是0.85%和0.75%，带上0.5权重部分就是0.8%（标准答案），但是如果带0.25%各自就是0.4%了