问题如下:
The coupon rate on a five-year bond is higher than the forward rate between time 4.5 years and time five years. If forward rates do not change do you expect the bond price to increase or decrease during the next six months?
选项:
解释:
It will decrease. The decrease in value is the value of a lost forward rate agreement, which in this case is positive.
老师您好,这道题我的答题思路是:何老师讲如果spot curve向上倾斜,forwar rate大于同样到期时候的spot rate。因此,本题可以退出spot curve是向下倾斜的,那随着时间推移,bond price 不是应该随着利率的减小而增大吗?