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Yang · 2020年03月09日

问一道题：NO.PZ2018123101000041

  1. CFA II
  2. Fixed Income

问题如下：

Exhibit 1 shows the current government spot rates for Countries A, B, and C.

Tyo presents her market views on the respective yield curves for a five-year investment horizon.

Country A: The government yield curve has changed little in terms of its level and shape during the last few years, and I expect this trend to continue. We assume that future spot rates reflect the current forward curve for all maturities.

Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be higher than current forward rates for all maturities.

Country C: To improve liquidity, Country C’s central bank is expected to intervene, leading to a reversal in the slope of the existing yield curve. We assume that future spot rates will be lower than today’s forward rates for all maturities.

Based on Exhibit 1 and Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?

选项：

A.

Country A

B.

Country B

C.

Country C

解释：

A is correct.

考点：Riding the yield curve策略

解析：由表格数据可知，A国利率曲线当前状态是向上倾斜的，且Tyo预期未来5年保持不变，这样的收益率曲线预期适合Riding the yield curve策略。使用Riding the yield curve需要满足收益率曲线向上倾斜，且收益率曲线预期不变，只有A国的收益率曲线满足该要求。

为什么不选 B 呢？

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2 个答案

吴昊_品职助教 · 2021年02月03日

同学你好：

这是原版书课后题的一个case。关于Country A的两句描述，其实分别用于不同的小题中，个人觉得放在一段话中来表述容易引起混淆。我们在这一小题我们只需要用到描述的第一句话（he government yield curve has changed little in terms of its level and shape during the last few years, and I expect this trend to continue. ）后面另外一道让我们选出合理定价的债券才用到了第二句话（We assume that future spot rates reflect the current forward curve for all maturities.）

关于第二句表述，正确的解释“future spot rate do not accurately reflect implied forward rate这句话代表的是curve stable。现在的收益率曲线是向上倾斜的，说明implied forward rate更大，但是到了下一年之后，spot rate依然保持一样，说明future spot rate没有实现当初那么大的implied forward rate。因为期初债券定价是使用更高的Implied forward rate，正是预测下一年Yield curve stable，也就是真正实现的Spot rate比期初预测的Implied forward rate更低，才有Capital gain的机会。因为期初用了更大的Implied forward rate定价。所以stable的条件换句话说就是future spot rate没有实现期初预测的更高的implied forward rate。”

回到我们这道题，就只需要根据对于country A的第一句表述来解题即可。

吴昊_品职助教 · 2020年03月10日

表格中，B国的收益率也是向上倾斜的，但是基于Tyo的预测，“I expect a reversal in the slope of the current yield curve”，他觉得未来的收益率曲线会出现一个反转，即向下倾斜。这样就违反了riding the yield curve中，收益率曲线必须是向上倾斜的这个条件。

蔡小工 · 2020年03月14日

但是B项后面一句是assume that future spot rates will be higher than current forward rates for all maturities，前后不会矛盾吗？

吴昊_品职助教 · 2020年03月14日

不矛盾，前面一句话代表的是收益率曲线反转，由向上倾斜变成向下倾斜。后一句话说的是收益率曲线并不stable。

baoranjia · 2021年02月02日

后一句是这个吗？We assume that future spot rates reflect the current forward curve for all maturities.为什么这个代表stable？ stable我理解是，future spot和spot相等，换言之future spot小于forward（因为spot 小于forward） 老师，我这样理解的错误点在哪里？

baoranjia · 2021年02月02日

我觉得这道题的争取答案应该是：表格中A的upward sloping的收益率曲线&文字表述中country C的后半句话 We assume that future spot rates will be lower than today’s forward rates for all maturities.

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NO.PZ2018123101000041 问题如下 Exhibit 1 shows the current government spot rates for Countries anC.Tyo presents her market views on the respective yielcurves for a five-yeinvestment horizon.Country The government yielcurve hchangelittle in terms of its level anshape ring the last few years, anI expethis trento continue. We assume thfuture spot rates reflethe current forwarcurve for all maturities.Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.Country To improve liquity, Country C’s centrbank is expecteto intervene, leang to a reversin the slope of the existing yielcurve. We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities.Baseon Exhibit 1 anTyo’s expectations, whicountry’s term structure is currently best for trars seeking to ri the yielcurve? A.Country B.Country C.Country A is correct.考点Ring the yielcurve策略解析由表格数据可知，A国利率曲线当前状态是向上倾斜的，且Tyo预期未来5年保持不变，这样的收益率曲线预期适合Ring the yielcurve策略。使用Ring the yielcurve需要满足收益率曲线向上倾斜，且收益率曲线预期不变，只有A国的收益率曲线满足该要求。 看了之前的，老师只一句话C最后一句不对，我还是不明白。请老师展开，并详细对比A和C的不同之处。C未来收益率曲线会反转向上啊，为啥C不对呢？

2023-08-19 11:44 1 · 回答

NO.PZ2018123101000041 问题如下 Exhibit 1 shows the current government spot rates for Countries anC.Tyo presents her market views on the respective yielcurves for a five-yeinvestment horizon.Country The government yielcurve hchangelittle in terms of its level anshape ring the last few years, anI expethis trento continue. We assume thfuture spot rates reflethe current forwarcurve for all maturities.Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.Country To improve liquity, Country C’s centrbank is expecteto intervene, leang to a reversin the slope of the existing yielcurve. We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities.Baseon Exhibit 1 anTyo’s expectations, whicountry’s term structure is currently best for trars seeking to ri the yielcurve? A.Country B.Country C.Country A is correct.考点Ring the yielcurve策略解析由表格数据可知，A国利率曲线当前状态是向上倾斜的，且Tyo预期未来5年保持不变，这样的收益率曲线预期适合Ring the yielcurve策略。使用Ring the yielcurve需要满足收益率曲线向上倾斜，且收益率曲线预期不变，只有A国的收益率曲线满足该要求。 老师，这道题出现过一次，我印象答案是选择B的。是不是有区别？上一道选B的也不是特别明白。麻烦讲解下。谢谢

2023-08-05 11:16 1 · 回答

c说会反转啊。而且forwarrate大于spot rate. a还是等于spot rate，感觉不是向上的收益率曲线。

2019-05-01 23:44 2 · 回答

c不是说会reversal吗。而且forwarrate大于spot rate。a里还是等于spot rate，感觉不是向上的收益率曲线。

2019-05-01 23:21 1 · 回答