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小呀小田螺 · 2021年06月19日

老师能不能再解释一下这道题

* 问题详情,请 查看题干

NO.PZ201712110200000106

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.

B选项说,“We assume that future spot rates will be higher than current forward rates for all maturities."

C选项说,“We assume that future spot rates will be higher than current forward rates for all maturities."

原文中是拿future spot rate和current forward rate做比较;题目中是比较forward curve 和spot curve。

这里两组Rate到底哪个对应哪个?他们的含义区别是?有点晕了。


看到其他老师解释,这里只需要用到exhibit1和"reversal"去判断?我不太理解。

比如B,表格里面已经有个reversal了,从负数变成正数了。我之前理解这个reversal就是指的这个变化,但是看解释说后面还有reversal?


请老师解答一下,谢谢!

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年06月20日

嗨,从没放弃的小努力你好:


同学您没有理解reversal的意思,您可以自己动手画这3条收益率曲线,A,B都是向上倾斜的,C是向下倾斜的。reversal的意思是向上倾斜的变向下,向下的变成向上的意思。并不是你说的负数转正数叫reversal。


当收益率曲线向下倾斜,就说明forward curve在spot curve下方,所以选择B,比较的是forward curve和spot curve。 原文中B的后半部分与这一题无关,是另一道题目要用到的条件。

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