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Pina · 2020年02月16日

问一道题:NO.PZ201701230200000106

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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。

1 个答案
已采纳答案

吴昊_品职助教 · 2020年02月17日

future spot rate是到了将来,市场上真实的即期利率是多少。current forward rate是隐含在现在的spot rate中的远期利率。future spot rate是基金经理预测的,每个人预测的数值是不一样的。而forward rate是零时刻就已知的。

现在future spot rate<forward rate,基金经理预期的未来实际市场spot rate小于forward rate,换句话说到了将来,市场上实际的bond price大于零时刻约定好的forward contract price,说明我在零时刻买forward contract更划算,能够以一个约定好的更低的价格买到将来价格会上涨的债券。

此时会有更多的人去买forward contract,forward contract value is expected to increase。

也由于到了将来,市场上实际的bond price大于零时刻约定好的forward contract price,说明此时forward contract价格被低估。