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).
根据课后题解释,roll down return 是the difference between bonds at the same ytm ,为什么解释又说A错在stable curve?
如何收益率曲线向上倾斜,4.5年期债券折现率应该是小于5年期,为什么是same ytm?
Bond trade at premium 的债券曲线不就是向下倾斜的吗,那算出来的roll down return 不就是负的吗?