问题如下：
Amy McLaughlin is a fixed-income portfolio manager at UK-based Delphi Investments. One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629. McLaughlin expected the US dollar to depreciate relative to the British pound by 1.50% during the year. McLaughlin chose the 20-year Treasury bonds because they were on the steepest part of the yield curve.
At the start of last year, the expected return on the portfolio strategy implemented by McLaughlin was closest to:
选项：
A.9.61%.
9.68%.
12.61%.
解释：
A is correct.
The expected return on the strategy (riding the curve) is calculated as follows.
E(R)≈Yield income + Rolldown return +E(Change in price based on investor's views of yields and yield spreads) - E(Credit losses) + E(Currency gains or losses)
In this case, the E(Change in price based on investor’s views of yields and yield spreads) term is equal to zero because McLaughlin expects the yield curve to remain stable.
请问老师，yield income 是按照4%计算还是按照 4/当前的债券价格计算呢。我记得有的题目就是直接使用了题目中给的coumpn rate ，这是仅仅适用于债券价格是par的时候吗？是不是所有的题目都应该用真正的coupon/真是价格计算的才准确呀？
