问题如下:
Exhibit 1 shows Nguyen’s yield curve assumptions implied by the spot rates.
Note: Par and spot rates are based on annual-coupon sovereign bonds.
Nguyen states that she has a two-year investment horizon and will purchase a three-year fixed-rate Bond Z as part of a strategy to ride the yield curve.
Nguyen is most likely making which of the following assumptions?
选项:
A. Bond Z will be held to maturity
B. The three-year forward curve is above the spot curve
C. Future spot rates do not accurately reflect future inflation
解释:
B is correct.
考点:考察Riding the yield curve策略成功需要的条件
解析:使用的策略是riding the yield curve,为了使得该策略成功,要求收益率曲线是向上倾的。而当Forward rate高于Spot rate时,就说明收益率曲线是向上倾斜的。因此B选择正确。
选项A为什么不对?持有到期