26
Considering only the US, UK, and Euro markets, the most attractive duration-neutral, currency-neutral carry trade could be implemented as:
Buy 3-year UK Gilts, Sell 3-year German notes, and enter a 6-month FX forward contract to pay EUR/receive GBP.
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.
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