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wawaxuanzi · 2020年03月07日

问一道题:NO.PZ2018123101000024 [ CFA II ]

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
1 个答案

吴昊_品职助教 · 2020年03月07日

首先,riding the yield curve策略,是购买一个更长期限的债券,并在到期之前卖出。该策略并不是持有至到期的。

另外,题干中也有给到提示:“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.”买一个三年期的固定利率债券,并在第二年末卖出,因为其投资期是两年,并不是持有至到期的。A选项明显是凑选项的。

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NO.PZ2018123101000024 问题如下 Exhibit 1 shows Nguyen’s yielcurve assumptions impliethe spot rates.Note: Panspot rates are baseon annual-coupon sovereign bon.Nguyen states thshe ha two-yeinvestment horizon anwill purchase a three-yefixerate BonZ part of a strategy to ri the yielcurve.Nguyen is most likely making whiof the following assumptions? A.BonZ will helto maturity B.The three-yeforwarcurve is above the spot curve C.Future spot rates not accurately reflefuture inflation B is correct.考点考察Ring the yielcurve策略成功需要的条件解析使用的策略是ring the yielcurve,为了使得该策略成功,要求收益率曲线是向上倾的。而当Forwarrate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。 理论上,在现在的一个正常的收益率曲线形状中,f(2,1) s3 s1, 也即是说预期中,2年后的future spot rate(s1) 会升到现在f(2,1) 的位置,一年期债券的价格是要下降的,那正常情况下,持有两年后卖出是拿不到那么高的gain的。但是stable的curve下,两年后,s1没有升到现在的f(2,1) 那么高的位置,一年期债券的价格依然很高。也就是说的future spot rate 并没有体现出那么高的 implieforwarrate.

2023-10-14 08:42 1 · 回答

问题如下ring the yielcurve的两个前提条件是,upwarsloping(题目已知spot curve向上);所以应该选第二个条件stable,应该选c呀?

2021-04-20 00:16 1 · 回答

根据表格中给的spot rate,收益率曲线本来就是向上倾斜的,为什么还要再假设f在s上面呢?

2020-05-27 07:13 1 · 回答

    C错在哪里?如果反映了inflation是不是意味着会改变形状?

2019-03-13 23:35 2 · 回答