问题如下:
6. For Assignment 2, Alexander should conclude that Bond Z is currently:
选项:
A.undervalued
B.faily valued
C.overvalued
解释:
A is correct.
Alexander projects that the spot curve two years from today will be below the current forward curve, which implies that her expected future spot rates beyond two years will be lower than the quoted forward rates. Alexander would perceive Bond Z to be undervalued in the sense that the market is effectively discounting the bond’s payments at a higher rate than she would and the bond's market price is below her estimate of intrinsic value.
老师好,这里是不是future spot rate是基金经理预期的收益率 而forward rate 是市场对未来利率的预期用于现在市场定价用的是吗? 谢谢。