请问关于yield curve和credit curve上进行roll down的区别的问题

嗨，努力学习的PZer你好：

roll down strategy（Riding the yield curve），可以在整条收益率曲线上做riding，也只在credit curve上做riding，在不同的收益率曲线上做riding时，投资收益来源是有一点区别的。

在整条收益率曲线上做riding，收益是：（所有的coupon + YTM改变对债券价格的影响），其中YTM的改变包含benchmark YTM roll down与Credit spread roll down。

而在Credit curve上做riding，收益是：（Incremental coupon + credit spread改变对债券价格的影响），其中incremental coupon就是只与信用风险相关的Coupon，且价格上升部分也只与Spread改变有关

不同曲线上做riding描述会有差异，需要留意。另外我们做题一定要紧抓题干，注意细小的差别。可以参考这道题，考的是在credit curve上做riding:

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.

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