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.
我明白应该用spot rate而不是YTM, 但spot rate是怎么算出来的?