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砖路 · 2022年08月23日

计算roll down yield curve 3%如何算的

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000801

问题如下：

The rolldown returns over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

1.00% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

B.

0.991% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

C.

0.991% for the Buy-and-Hold portfolio and 2.09% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct.

Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.

  • Buy and Hold: 1.00% = (100.00 - 99.009)/99.009
  • Yield Curve Rolldown: 3.01% = (99.009 - 96.1169)/96.1169

2年期债券YTM=2%。 那么PB=100/（（1+2%）^2) = 96 . 过了1年以后，PE=100/(1+2%)=98. 我理解PE/PB-1=2%

为什么答案里面的PE是用100除以1.01作为期末债券价格呢？


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1 个答案

pzqa015 · 2022年08月24日

嗨，努力学习的PZer你好：


2年期债券，过了一年后，剩余期限就剩1年了，所以应该用1年的折现率来计算价格。

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