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皓月 · 2023年02月16日

看了解析，说C是downword sloping,这个我怎么没从题目里看出来

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000106

问题如下：

Based on Exhibit 1 and assuming Tyo’s market views on yield curve changes are realized, the forward curve of which country will lie below its spot curve?

选项：

A.

Country A

B.

Country B

C.

Country C

解释：

B is correct.

The yield curve for Country B is currently upward sloping, but Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country B to slope downward, which implies that the resulting forward curve would lie below the spot yield curve. The forward curve lies below the spot curve in scenarios in which the spot curve is downward sloping;the forward curve lies above the spot curve in scenarios in which the spot curve is upward sloping.

A is incorrect because the yield curve for Country A is currently upward sloping and Tyo expects that the yield curve will maintain its shape and level. That expectation implies that the resulting forward curve would be above the spot yield curve.

C is incorrect because the yield curve for Country C is currently downward sloping and Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country C to slope upward, which implies that the resulting forward curve would be above the spot yield curve.

我知道B是对的，但是C为什么不对？

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吴昊_品职助教 · 2023年02月16日

嗨，努力学习的PZer你好：


这道题就是利用表1的数据和Tyo的预测进行解题的。表1代表的就是现在收益率曲线的情况，从画红框的一列可知，C国的收益率曲线目前是向下倾斜的，Tyo预计当前收益率曲线的斜率将会反转。这意味着她预计C国的最终收益率曲线将向上倾斜，这意味着最终的远期收益率曲线将高于即期收益率曲线。因此不选C。

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