nanaluo · 2021年11月02日
NO.PZ2020011303000206
问题如下：
Under what circumstances is the carry roll-down the same for the following three assumptions: (a) forward rates are realized, (b) term structure is unchanged, and (c) yield to maturity is unchanged?
解释：
If the term structure is flat, the carry roll-down will be the same for all three definitions.
NO.PZ2020011303000206问题如下Unr whcircumstances is the carry roll-wn the same for the following three assumptions: (forwarrates are realize (term structure is unchange an(yielto maturity is unchange If the term structure is flat, the carry roll-wn will the same for all three finitions. 题目问在什么情况下，以下三个假设的carry roll-wn相同(远期利率已实现，(期限结构不变，(到期收益率不变？当利率的期限结构是flat的时候，这三种情况的carry roll wn相同。 老师好，看了您对别的同学的回答，有几个问题，1、YTM和spot rate有关系，是各期限spot rate的打包价，YTM和forwarrate没关系吧？2、PV=103.95，carry roll wn 在仅考虑时间变化的公式是BVt（R’t，St-1）-BVt-1（Rt-1，St-1），不明白103/（1+2.75%/2）是啥意思啊？第三条红线也是，为什么term structure unchangecarry roll wn是103/（1+1.25%/2）？这两个103都是0时刻的PV，103.95？
老师能不能详细讲一下这个题目是怎么玩的，看答案很简单，但是不能理解。。谢谢
