发亮_品职助教 · 2021年05月13日
嗨,从没放弃的小努力你好:
是的,表格里面的利率都是年化利率。如果题目没有做特殊说明,那就默认给定的所有利率都是年化利率哈~
同时,在这道题里面,为了简便处理,这道题让这个表格里面的利率代表了好几个意思,这个表格里面的利率是债券的收益率Yield,也是Swap的Swap rate,也是债券的Coupon rate,这些利率都是年化利率的概念哈。
所以,像表里面6-Month LIBOR,这个虽然是6个月的Floating rate,但已经是一个年化数据,所以在计算6个月的收益时,需要除以2。
碰到题目,没做特殊说明,认为给的利率都是年化数据哈。
----------------------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!
baidu.sina · 2021年05月13日
赞。谢谢
baidu.sina · 2021年05月12日
题干如下
Winslow thinks the Mexican and Greek markets may offer attractive opportunities to enhance returns. Yields in these markets are given in Exhibit 1, along with those for the base currencies of her portfolios. The Greek rates are for euro-denominated government bonds priced at par. In the other markets, the yields apply to par sovereign bonds as well as to the fixed side of swaps versus six-month Libor (i.e., swap spreads are zero in each market). The six-month Libor rates also represent the rates at which investors can borrow or lend in each currency. 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.