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我们都爱吃锅巴 · 2019年05月01日

为什么C不对。问一道题:NO.PZ2018123101000041 [ CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:

c不是说会reversal吗。而且forward rate大于spot rate。a里还是等于spot rate,感觉不是向上的收益率曲线。

1 个答案

吴昊_品职助教 · 2019年05月02日

这道题是重复提问,请看之前的解释,谢谢

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NO.PZ2018123101000041 问题如下 Exhibit 1 shows the current government spot rates for Countries anC.Tyo presents her market views on the respective yielcurves for a five-yeinvestment horizon.Country The government yielcurve hchangelittle in terms of its level anshape ring the last few years, anI expethis trento continue. We assume thfuture spot rates reflethe current forwarcurve for all maturities.Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.Country To improve liquity, Country C’s centrbank is expecteto intervene, leang to a reversin the slope of the existing yielcurve. We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities.Baseon Exhibit 1 anTyo’s expectations, whicountry’s term structure is currently best for trars seeking to ri the yielcurve? A.Country B.Country C.Country A is correct.考点Ring the yielcurve策略解析由表格数据可知,A国利率曲线当前状态是向上倾斜的,且Tyo预期未来5年保持不变,这样的收益率曲线预期适合Ring the yielcurve策略。使用Ring the yielcurve需要满足收益率曲线向上倾斜,且收益率曲线预期不变,只有A国的收益率曲线满足该要求。 看了之前的,老师只一句话C最后一句不对,我还是不明白。请老师展开,并详细对比A和C的不同之处。C未来收益率曲线会反转向上啊,为啥C不对呢?

2023-08-19 11:44 1 · 回答

NO.PZ2018123101000041 问题如下 Exhibit 1 shows the current government spot rates for Countries anC.Tyo presents her market views on the respective yielcurves for a five-yeinvestment horizon.Country The government yielcurve hchangelittle in terms of its level anshape ring the last few years, anI expethis trento continue. We assume thfuture spot rates reflethe current forwarcurve for all maturities.Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.Country To improve liquity, Country C’s centrbank is expecteto intervene, leang to a reversin the slope of the existing yielcurve. We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities.Baseon Exhibit 1 anTyo’s expectations, whicountry’s term structure is currently best for trars seeking to ri the yielcurve? A.Country B.Country C.Country A is correct.考点Ring the yielcurve策略解析由表格数据可知,A国利率曲线当前状态是向上倾斜的,且Tyo预期未来5年保持不变,这样的收益率曲线预期适合Ring the yielcurve策略。使用Ring the yielcurve需要满足收益率曲线向上倾斜,且收益率曲线预期不变,只有A国的收益率曲线满足该要求。 老师,这道题出现过一次,我印象答案是选择B的。是不是有区别?上一道选B的也不是特别明白。麻烦讲解下。谢谢

2023-08-05 11:16 1 · 回答

为什么不选 B 呢?

2020-03-09 16:19 2 · 回答

c说会反转啊。而且forwarrate大于spot rate. a还是等于spot rate,感觉不是向上的收益率曲线。

2019-05-01 23:44 2 · 回答