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little_back · 2020年05月27日

问一道题：NO.PZ2018123101000042

  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 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.

考点：Forward Curve与Spot curve之间的关系

解析：B国的收益率曲线目前向上倾斜，但Tyo预计当前收益率曲线的斜率会出现逆转。这意味着她预期B国的最终收益率曲线向下倾斜，得到的Forward rate曲线将位于Spot rate曲线下方。A是不正确的，因为A国的收益率曲线目前向上倾斜，而Tyo预计收益率曲线将保持该形状。该预期意味着远期利率曲线仍将高于spot rate曲线。C是不正确的，因为C国的收益率曲线目前向下倾斜，而Tyo预计当前收益率曲线的斜率会反转。这意味着她预期C国的最终收益率曲线向上倾斜，这意味着得到的Forward rate曲线将高于spot rate曲线。

请问老师：B选项中“We assume that future spot rates will be higher than current forward rates for all maturities”这句话，和未来f curve、s curve向下倾斜冲突吗？为什么？

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WallE_品职答疑助手 · 2020年05月27日

不冲突啊,举个例子：现在曲线翻转了，1年期spot rate=5%,2年期spot rate=3%，你算f(1,1)

（1+5%）*{1+f(1,1)}=（1+3%）^2

f(1,1)=1.01038

可以看见forward rate比 spot rate低

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  • 794

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NO.PZ2018123101000042 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 anassuming Tyo’s market views on yielcurve changes are realize the forwarcurve of whicountry will lie below its spot curve? Country Country Country B is correct.考点ForwarCurve与Spot curve之间的关系解析B国的收益率曲线目前向上倾斜，但Tyo预计当前收益率曲线的斜率会出现逆转。这意味着她预期B国的最终收益率曲线向下倾斜，得到的Forwarrate曲线将位于Spot rate曲线下方。A是不正确的，因为A国的收益率曲线目前向上倾斜，而Tyo预计收益率曲线将保持该形状。该预期意味着远期利率曲线仍将高于spot rate曲线。C是不正确的，因为C国的收益率曲线目前向下倾斜，而Tyo预计当前收益率曲线的斜率会反转。这意味着她预期C国的最终收益率曲线向上倾斜，这意味着得到的Forwarrate曲线将高于spot rate曲线。 We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities。这不是意思我们假设未来所有期限的即期利率都将低于今天的远期利率,不是说将来收益率曲线是向下的吗？那不就是the forwarcurve of whicountry will lie below its spot curve

2023-03-10 20:29 1 · 回答

NO.PZ2018123101000042 题目中给出了很多SPOT RATE但是我没有明白怎么看出来是上升还是下降以及分析题目 比如正确答案是B -2.2变到正数，不是上升了吗 则SPOT处在上升状态 这样想对吗

2021-04-26 13:05 1 · 回答

NO.PZ2018123101000042 Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. 这里说的是spot curve会反转原来上升那将来就该是下降 We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.这里说的是假设future spot rate 高于 current forwarrate ，forwarrate 是current和过去spot rate的平均 那过去的spot rate 就应该高于 future spot rate 那spot curve 就是下降的趋势。

2021-04-11 11:20 1 · 回答

NO.PZ2018123101000042 问题问的是assuming Tyo’s market views on yielcurve changes are realize好，那我们看题目 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. Tyo presents her market views 她展示她的view I expethis trento continue, We assume thfuture spot rates reflethe current forwarcurve for all maturities.(谁是We？我们姑且认为是我们做题者，或者暗指现实情况是这样发生的，或者We也是指Tyo？) I expea reversin the slope of the current yielcurve， We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.（这个We阐述的情况是表中的原来的情况，不是reversal的情况。） C没有I ，只有We（这里的We也是阐述表中的原来的情况，那Tyo的view是什么呢？无法判断啊） 这题时不时出题人写错了把俩题目搞一起去了，然后we I tyo混了没法做。 这题是出自原版书吧？能帮忙看看是不是有勘误啊？ 我查了半天没查到，觉得这题出题人没想清楚写的一团浆糊啊。。。

2021-03-25 11:09 2 · 回答

C，原本曲线是向下倾斜，反转以后，向上倾斜，那应该还是Forwrate 大于 spot rate，那应该对的啊，这怎么理解呢？

2020-10-04 15:14 1 · 回答