key rate 和 par rate什么关系？

问题如下：

A fixed-income consultant is preparing a presentation advising corporate clients on the use of key rate 01’s and forward-bucket 01’s to monitor and hedge their interest rate exposures. Which of the following statements would be correct to include in the presentation?

选项：

A.

The sum of all key rate ‘01s is equal to the change in price from shifting the yield to maturity by 1 basis point.

B.

The key rate shift of the 10-year par rate leads to higher spot rates for all maturities.

C.

The sum of all forward bucket ’01 shifts is equal to shifting the entire forward curve by 1 basis point.

D.

By choosing the key rates for the US Treasury as 2-, 5-, 10-, and 30-year par yields, a 15-year on-the-run US Treasury bond has no exposure to the 30-year key rate shift.

解释：

中文解析：

选C，是forward buckets 01的定义

C is correct. This is the basic definition of forward bucket ‘01s.

A is incorrect. The sum of key rate ‘01s is equal to a parallel shift in the par curve, not in the flat yield to maturity.

B is incorrect. Par curve effects are not spot curve effects.

D is incorrect. The 30-year key rate shifts rates between 10 and 30 years, and thus has an effect on the cash flows of a 15-year coupon bond.