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momo · 2023年11月16日

a

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NO.PZ202305230100003904

问题如下:

Match the following statements about par rate curves with corresponding statements about spot rate curves.


选项:

解释:

1. A. This situation is illustrated in the German and Swiss government interest rate data in which spot rates are negative while the spot rate curve is upward sloping. In such instances, par rates lie above spot rates.

2. B. This situation is illustrated in the Canadian and Australian government interest rate data in which spot rates are positive and the spot curve is normal.

3. C. This is a hypothetical case but can be seen by creating a flat spot rate curve.

没太明白a。。。。。

1 个答案

pzqa015 · 2023年11月18日

嗨,努力学习的PZer你好:


就是如果spot rate曲线向上倾斜,且spot rate为负,就像题中德国和瑞典两国的spot rate curve,那么此时par rate曲线是在spot rate曲线上面的,换句话说,每一期的Par rate都大于同期的spot rate

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