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徐威廉 · 2020年04月03日

问一道题:NO.PZ201712110200000106 第6小题 [ CFA II ]

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问题如下:

Based on Exhibit 1 and assuming Tyo’s market views on yield curve changes are realized, the forward curve of which country will lie below its spot curve?

选项:

A.

Country A

B.

Country B

C.

Country C

解释:

B is correct.

The yield curve for Country B is currently upward sloping, but Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country B to slope downward, which implies that the resulting forward curve would lie below the spot yield curve. The forward curve lies below the spot curve in scenarios in which the spot curve is downward sloping;the forward curve lies above the spot curve in scenarios in which the spot curve is upward sloping.

A is incorrect because the yield curve for Country A is currently upward sloping and Tyo expects that the yield curve will maintain its shape and level. That expectation implies that the resulting forward curve would be above the spot yield curve.

C is incorrect because the yield curve for Country C is currently downward sloping and Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country C to slope upward, which implies that the resulting forward curve would be above the spot yield curve.

country C的spot rate 是down sloping,为什么不能说明?
1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年04月04日

因为C国的收益率曲线目前是向下倾斜的,Tyo预计当前收益率曲线的斜率将会反转。这意味着她预计C国的最终收益率曲线将向上倾斜,这意味着最终的远期收益率曲线将高于即期收益率曲线。

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