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兔儿爷 · 2021年04月14日

Based on the weakness in the financial markets, 这个是个迷惑项吗?

NO.PZ2018123101000026

问题如下:

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit 1. Based on the weakness in the financial markets, he thinks interest rates will remain stable, the yield curve will not change its level or shape for the next two years, and swap spreads will also remain unchanged.

Using his interest rate outlook, riding the yield curve could provide a total return that is most likely:

选项:

A.

lower than the return on a maturity-matching strategy.

B.

equal to the return on a maturity-matching strategy.

C.

higher than the return on a maturity-matching strategy.

解释:

C is correct.

考点:考察Riding the yield curve策略

解析:当spot rate曲线向上倾斜时,并且预测未来收益率曲线保持不变时,购买到期日超过投资期限的债券(即使用riding yield curve策略),其总回报大于到期日匹配策略(Buy-and-hold)的回报。如投资期为3年,购买一个5年期的债券持有3年,比购买一个3年期的债券持有至到期收益率高。

 Based on the weakness in the financial markets, 这个是个迷惑项吗?金融市场的强弱和这个riding curve movement 有关系吗?还是只要关注riding策略的两个假设

1 个答案

WallE_品职答疑助手 · 2021年04月14日

嗨,爱思考的PZer你好:


这句话其实没有任何意义和riding curve movement没有关系。 他怎么认为才重要,也就是”he thinks interest rates will remain stable, the yield curve will not change its level or shape for the next two years, and swap spreads will also remain unchanged. “很重要。

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