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.
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).
A选项错。是因为The rolldown return equals the difference between the price of the 5-year bond and that of a 4.5-year bond at the high yield-to-maturity 而不是lower yield-to-maturity吧。因为收益率曲线斜向下，最开始的折现率是高的。
