NO.PZ201812020100000602
问题如下:
At the start of last year, the expected return on the portfolio strategy implemented by McLaughlin was closest to:
选项:
A.9.61%.
B.9.68%.
C.12.61%.
解释:
A is correct.
The expected return on the strategy (riding the curve) is calculated as follows.
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.
yield income什么时候是coupon/FV, 什么时候是coupon/current price呢?为什么之前好像有些题都是除以100面值的