This morning I checked the last years schweser. It said that for Break Even spread, if both bonds are domestic, we do not think of the currency effect but if one of them is foreign bond, you have to consider this currency effect. (not just take difference of rtn of bonds and devide by Duration ) volkovv had great post regardint this BEA, But I am still puzzeled … Don’t we have to consider this currency effect anymore ? Any repeters having same problem?
CFAI V5, p.38 says “…the analysis ignores the impact of currency movements” I guess CFAI changed their mind on how they want this topic to be tested. They acknowledge that currency movement will have an impact, but for the purposes of showing how the breakeven spread analysis works, simply chose to ignore it. my 2 cents
Thank you so much volkovv ! You are sooooo Great ! I was almost going to complain .