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金融民工阿聪 · 2023年01月22日

A的错误问题

NO.PZ2021120102000028

问题如下:

Which of the following statements best describes a credit curve roll-down strategy?

选项:

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释:

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

A确实缺少了yield curve stable这个前提。 但是我的问题是:

关于选项中的“incremental coupon”是指什么?它也是被包含在roll down return中吗?

2 个答案

pzqa015 · 2023年05月06日

嗨,努力学习的PZer你好:


第一部分是coupon/P0,第二部分是P1/P0-1,单纯从分解公式来看,二者是独立的,但是,coupon是会影响price的。

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pzqa015 · 2023年01月26日

嗨,努力学习的PZer你好:


是指长期债券相对于短期债券的票息收入,一般情况下,收益率曲线向上倾斜,长期利率高于短期。因为债券价格的计算包含票息收入,所以,incremental coupon也包含在rolldown return中了。

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挚💫CZ · 2023年05月06日

我怎么记得老师讲过收益率包括五部分,其中第一个是coupon,第二个是rolldown return,这两个应该是相互独立的吧?

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