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eee · 2019年05月29日

yield curve 书后26题关于T notes Treasure


26



Considering only the US, UK, and Euro markets, the most attractive duration-neutral, currency-neutral carry trade could be implemented as:

  1. Buy 3-year UK Gilts, Sell 3-year German notes, and enter a 6-month FX forward contract to pay EUR/receive GBP.

  2. Receive fixed/pay floating on a 3-year GBP interest rate swap and receive floating/pay fixed on a 3-year EUR interest rate swap.

  3. Buy the T-note futures contract and sell the German note futures contract for delivery in six months.

(Institute 221)

Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.

所提供的引文是一个指南。请在使用之前查看每个引文以确保准确性。



主要问题是T notes的期限一般是多长?答案好像按5年算的,题干并没有给,treasure是一年吗



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已采纳答案

发亮_品职助教 · 2019年05月30日

一年以下的国债称为T-bills,只有30年期的国债称为T-Bonds,在这之间所有期限的债券都称为T-notes;

也就是2、 3、 5、 7、 10年期国债称为T-notes;


这道题的T-note futures按5年期算,其实题干是给了信息的:

Winslow observes that the five-year Treasury-note and the five-year German government note are the cheapest to deliver against their respective futures contracts expiring in six months.

也就是6个月即将到期的Futures,交割的标的物就是5-year T-notes。

所以如果Carry trade给了Futures,就会说明交割的债券期限是多少年的。否则我们都不知道对应的长期利率是多少,就没法算Carry trade收益。

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