Rachel
2019-12-05 19:30老師請問書本225頁第二十三題答案. Intra- market carry trades typically do involve different maturities, but inter- market carry trades frequently do not, especially if the currency is not hedged.這里not hedged怎么理解？ if two curves are involved they need not have different slopes provided there is a difference in the level of yields between markets.是什么意思？ Inter- market carry trades do not, in general, break even if each yield curve goes to its forward rates. Intra-market trades will break even if the curve goes to the forward rates because, by construction of the forward rates, all points on the curve will earn the “first- period” rate (that is, the rate for the holding period being considered). Inter-market trades need not break even unless the “first- period” rate is the same in the two markets. If the cur-rency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate.這段不太明白是什么意思？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Dean助教
2019-12-06 09:37
該回答已被題主采納
同學(xué)你好；
Statement 1 ： carry trade 包括intra和Inter, intra mkt carry trade通常是國內(nèi)借短期債券投資長期債券，maturity不匹配。
Inter market carry trade是套兩個國家貨幣差，有可能到期匹配也有可能到期日不匹配。
Statement 2: intra market carry trade 只有一條利率曲線（一個國家內(nèi)借短投長）； inter market carry trade是兩個國家不同的收益率曲線，所以是兩條曲線，兩條曲線斜率可以一樣，也可以不一樣。
statement 3:
breakeven你就理解成能不能賺到錢，不賺不虧叫做breakeven,也就是說profit=0.
Intra market很容易breakven, 有一條利率曲線（一個國家內(nèi)借短投長），（1+S1）（1+f1,1）(1+f2,1)=(1+S3)三次方，根據(jù)無套利定價法，forward rate是 expected spot rate的無偏估計，連續(xù)roll down 三次和直接投一次的收益是一樣的，所以存在break even的情況。
Inter market是兩條利率曲線，斜率不一樣，同時還要考慮匯率的因素，如果利用斜率賺錢了，但是考慮匯率是貶值的，也可以存在breakeven.
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