Sir,
I am referring to Example 5 from Core ” Fixed Income ” Page 183.
Inter market Positioning
Simon Millsap ….
Q1: Says Briefly describe how the projected local currency returns are influenced cy the current configuration of the yield Curve?
to decide so Expected Returns for each Maturity and each market is calculated.
What i am not clear in the solution is : Reading and understanding the meaning of Exhibit 49
and calculation done.
In the class we have done Yield Income + Roll Down Yield + Price change due to change in Yield + currency change – credit loss
I am not clear on the Income return that they have calculated. why there was a need of calculating 3 prices to computed all of the 3 components in the above formula.
Also: In Q3 : Considering each market in isolation and all components of return, identify the most attractive cash-neutral, duration- neutral trade.set the maximum position in any bond at +- $1 million .
I am not clear on the flow and answer provided. Seems to be very difficult to understand and interpret. If you can help me to understand the solution in a simpler manner as you do in the classes. The intuitive way will be really helpfull.
Please listen the audio
Sir i have not yet received any response for this question…and i m again stuck on the same part while solving.
I had provide both these via audio clips…pls state whether u r not able to find it…