问题如下图:
选项:
A.
B.
C.
解释:
为什么选项c是cash neutral 二者的币种不一样啊,金额肯定也不一样。
发亮_品职助教 · 2019年12月05日
嗨,爱思考的PZer你好:
“为什么选项c是cash neutral 二者的币种不一样啊,金额肯定也不一样。”
这道题没有Cash-neutral的要求。
注意和原版书超级长的那道Case区分开来。那道题是Cash-neutral、Duration-neutral的Trade;
而本题是:Duration-neutral、Currency-neutral的Carry trade,这道题是限定了Carry trade,与那道超长的例题是不一样的。
这道课后题更重要一些。
具体来说,本题的Carry trade有三个要求:1. Most attractive、2. Duration-neutral、3. Currency-neutral
这是一个类型的Carry trade,掌握本题后,其他考法也差不多。
如何理解这种Carry trade:
这种Carry trade,为了避免Currency的问题,也就是在赚取息差时不想有汇率风险,所以就选择了在同一个市场上进行借、贷,赚取息差。为了获得息差最大化,我们就在收益率曲线陡峭的国家,借短期、投长期,这样息差最大。
例如,UK的收益率曲线最陡峭,B选项在UK市场,借短期6-month、投长期3-year,这样就相当于是一国内部的Carry trade,赚息差的过程不受到汇率的影响,实现了Currency-neutral。
但是,在UK市场上借短期、投长期这样的策略,会获得一个正的Duration。
为了实现Duration-neutral,我们就在另外一个国家,借长期、投短期;因为借长期、投短期可以获得一个负的Duration数据,刚好可以和UK市场的正Duration抵消,实现Duration-neutral。例如,B选项在EUR市场,借长期3-year,投短期6-month,这是一个负Duration的头寸。
但是正常的收益率曲线下,也就是向上倾斜的收益率曲线下,借长期、投短期会获得一个负的收益率。也就是EUR市场上借长期3-year,投短期6-month会有一个负的收益。
所以为了构建Duration-neutral,实际上产生了负的收益、对策略的总收益有拖累。为了降低这个拖累,我们就需要在收益率平坦的国家做借长期、投短期,构建这个负duration的策略。收益率越平坦,借长期、投短期策略的收益拖累就越小。
这样,在UK一国内部借短期、投长期,实现了Carry trade的Currency-neutral;
UK正的Duration、与EUR负的Duration,两个国家一正一负的Duration相互抵消,实现Duration-neutral、
收益率曲线最陡峭的国家UK做Carry trade获得最大息差,收益率最平坦的国家EUR构建“负Duration”的组合(尽量降低拖累),这样实现了Most attractive;、
这三点结合起来就是:Currency-neutral、Duration-neutral、Most attractive carry trade。
我们把总头寸结合起来看为:
UK市场:借6-month;投3-year;
EUR市场:投6-month;借3-year;
我们可以换个角度看,这个策略是:在UK市场借6-Month,在EUR市场投资6-month,所以相当于赚取了UK、与EUR市场上,6个月利率的息差;
在EUR市场上借3-year、在UK市场上投资3-year,相对于赚取了UK、与EUR市场上,3年利率的息差。
所以这种Currency-neutral/Duration-neutral的策略,实际上还是一个Inter-market carry trade,但在构建策略时,我们选择在一国内部借、贷,所以实际赚取息差收益时,并没有汇率风险,于是是Currency-neutral的。
以上是以B选项为例,解释了这种策略。
C选项的话,Futures的标的物是5年期债券,所以Buy T-note这个策略是:借US 6-Month利率,投资US 5年期利率;
Sell German Futures策略是:借EUR 5年利率、投资EUR 6-month利率;
整体来看,German和USD市场,Duration一正一负相互抵消、这是Duration-neutral,一国内部完成借、贷,这是Currency-neutral;但是C选项的实际获取的息差没有B选项高,所以不是Most attractive carry trade。
-------------------------------加油吧,让我们一起遇见更好的自己!
Receive fixepfloating on a 3-yeGinterest rate swanreceive floating/pfixeon a 3-yeEUR interest rate swap. Buy the T-note futures contraansell the Germnote futures contrafor livery in six months. B is correct. In orr to ration-neutrancurrency-neutral, the tra must lenlong/borrow short in one market an the opposite (lenshort/borrow long), with the same maturities, in another market. The best carry is obtainelenng long/borrowing short on the steepest curve anlenng short/borrowing long on the flattest curve. The Gcurve is the steepest anthe EUR curve is the flattest. The largest yielsprebetween these markets is 0.55% the 3-yematurity, anthe narrowest spreis 0.35% the 6-month maturity. Hence, the best tra is to go long the G3-year/short the EUR 3-yeanlong the EUR 6-month/short the G6-month. This cimplementein the swaps market receiving 3-yefixepaying 6-month floating in Ganing the opposite in EUR (receiving 6-month floating/paying 3-yefixe. The net carry is +0.10% = [(0.95% – 0.50%) + (0.15% – 0.40%)]/2 for six months. A is incorrect. The FX forwarposition state(pEUR/receive GBP) correspon to implicitly borrowing EUR for six months anlenng Gfor six months. Correexecution of the tra woulrequire the opposite, receiving EUR anlivering G6 months forwar C is incorrect. This combination of futures positions es create a ration-neutral, currenneutrcarry tra, but it is not the highest available carry. Sinthe T-note futures prireflects the pricing of the 5-yenote cheapest to liver, the long position in this contrais equivalent to buying the 5-yeTreasury anfinancing it for 6 months. This generates net carry of 0.275% = (1.95% – 1.40%)/2. Similarly, the short position in the Germnote futures is equivalent to being short the 5-yeGermnote anlenng the procee for 6 months, generating net carry of –0.225% = (0.15% – 0.60%)/2. The combinecarry is 0.05%, half of whis available on the position in 话说,这题是哪个考点啊?强化讲义上有吗?
请问一下这道题中怎么判断收益率曲线的steep和flat,为什么uk最陡峭,eu最平
T-note是啥,题干哪里有呢?不太明白C的含义,麻烦老师,谢谢!
如果A的forwar做反求A的carry tra
怎么判断什么时候要划算成heereturn,什么时候不用呢?