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.
备注:本题为原版书课后题,答案上句Rolldown return的说法有错误,因为Rolldown return是在同一条收益率曲线上滚动,是由期初的高利率降低为期末的低利率,这种在收益率曲线上的滚动称为Rolldown。而上句答案说roll down return是5年期债券与4.5年期债券使用相同的YTM,这个相同的YTM说法错误,应该是5年期的YTM更高,而4.5年期的YTM更低。
同时,本题题干的利率发生了改变,是期末的利率下降了25bps,这个利率下降属于利率曲线的移动,并不是在同一条收益率曲线上滚动带来的下降,因此本题的选项A的表述是错误的。
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).
可以详细解释ABC项,完全不理解