经典习题 fixed income R 20 yield curve strategies
3.1 (2) considering only the US, UD; and Euro markets, the most attractive duration neutral and currency neutral carry trade could be implemented as
对于选项C 的获利计算有疑问，在美国借短投长，在德国借长投短，为什么各自的spread 直接按头寸加减，而不考虑美元6个月后相对欧元是贬值1%的?
