Question: You are British and hold a U . S . Treasury bond with a full price of 1 0 0 and duration of 1 5
You are British and hold a US Treasury bond with a full price of and duration of Its yield is percent. The dollar cash rate is percent, and the pound cash rate is percent. You expect US yields to move up by basis points over the year. Give a rough estimate of your expected return if you decide to hedge the currency risk. Show that your risk premium is equal to the risk premium of a US investor. Show your work. points
Step by Step Solution
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
