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甜甜 · 2024年07月31日

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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.

spot curve upward sloping 不是par curve below 吗

1 个答案

品职答疑小助手雍 · 2024年07月31日

同学你好,因为很少出现负利率的情况,所以常规来说2和B是对应的,即spot(为正数且)向上倾斜,par curve在spot下面。

其实par curve在spot curve向上倾斜时是在0和spot之间的

所以当spot是负的时候,par反而在spot上面了。