NO.PZ2021120102000003
问题如下:
A Dutch investor considering a 5-year EUR government bond purchase expects yields-to-maturity to decline by 25 bps in the next six months. Which of the following statements about the rolldown return is correct?
选项:
A.
The rolldown return equals the difference between the price of the 5-year bond and that of a 4.5-year bond at the lower yield-to-maturity
B.
The rolldown return consists of the 5-year bond’s basis point value multiplied by the expected 25 bp yield-to-maturity change over the next six months.
C.
The rolldown return will be negative if the 5-year bond has a zero coupon and is trading at a premium.
解释:
C is correct.
Rolldown return is the difference between the price of the 5-year bond
and that of a 4.5-year bond at the same yield-to-maturity.
A 5-year zero-coupon bond trading at a premium has a negative
yield. As the price “pulls to par” over time, the premium amortization will be
a loss to the investor.
A reflects the full price appreciation since it is calculated using the lower yield-to-maturity, while B equals E (Δ Price due to investor’s view of benchmark yield).
看了解释彻底乱了!有以下几个问题:
1.Rolldown return我们只学了YTM折现,由于满足两个条件stable和upward,所以rolldown return大于0;这和发型价格premium或者discount有什么关系?
2.rolldown return用spot rate计算具体能否举个例子?代表什么意思?