猫同学2022-05-12 23:31:41
猫同学这道题好几个地方没懂。图二表格我打问号那里，我的计算结果和书上不一样呢？最后一图也有好几个问号。
回答（1）
Nicholas2022-05-13 12:20:57
Nicholas同学，早上好。
这里有勘误，计算结果是不对的，勘误内容如下，供参考，
In Example 32, second paragraph (page 121 of print), second sentence should read, “In particular, European high-yield credit spreads are expected to narrow by 25% in the near term, the euro is expected to appreciate 1% against the US dollar, and all US credit spreads and expected loss rates are expected to decline just 10% over the same period.” In the table in the solution, the E(Expected Spread) column should read, top to bottom: 2.08%, 2.93%, 4.54%, 3.65%. The sentence after the table should read, “Return on the equally weighted portfolio is equal to 3.30% (=(2.08%+2.93%+4.54%+3.65%)/4).” The final sentence in the example should read, “Given that iTraxx-Xover carries a weight equal to one-half of the US corporate bond portfolio, the strategy returns 6.04% (or 3.30% + 5.483%/2).”
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还有没明白的地方：
1、为啥最后一页中间的公式算return不是（91.05-95.75）/95.75
2、最后一排，哪里有提到one half of the US？
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同学，早上好。
1. 如果是计算回报率应该使用（期末-期初）/期初的，但是这里有问题，
CDS Price的计算公式为1+（Coupon-CDS Spread）*duration，期初的利差为400bps，期末的利差为300bps，因此利差缩窄卖保护的一方获益。
期初 CDS Price=1+（5%-4%）*4.25=1.0425
期末 CDS Price=1+（5%-3%）*4.25=1.085
假设计算回报率为（1.085-1.0425）/1.0425=4.08%
2. 正文中最后一句提到，calculate the expected excess return percentage assuming an equally weighted allocation to US corporate bonds and an iTraxx-Xover position that matches that of the US high-yield bond allocation.
假设对美国公司债券的分配权重相等，且iTraxx Xover头寸与美国高收益债券分配的头寸相匹配，计算预期超额收益率百分比。
那我们看到美国债券部分高收益债占一半，那么iTraxx Xover头寸就是美国债券部分的一半，因此后面的收益率部分按照除2处理。
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