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mushkc · 2023年06月07日

roll down return的折现率

  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

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

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已采纳答案

pzqa31 · 2023年06月08日

嗨，爱思考的PZer你好：


是的，spot rate 1是1%，

s1=1%，P1=100/1.01=99.009901

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2023年06月07日

嗨，爱思考的PZer你好：


这两只零息债券的收益率就是直接用价格算的：（P1-P0）/P0

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努力的时光都是限量版，加油！

mushkc · 2023年06月07日

所以相当于通过Buy-and-Hold portfolio 算出第一年的spot rate，然后把这个spot rate用在Yield Curve Rolldown portfolio上计算roll down portfolio的PV吗？

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