NO.PZ2021120102000003
问题如下:
A Dutch investor considering a 5-year EUR government bond purchase expects yields-to-maturity to decline by 25 bps in the next six months. Which of the following statements about the rolldown return is correct?
选项:
A. The rolldown return equals the
difference between the price of the 5-year bond and that of a 4.5-year bond at
the lower yield-to-maturity
B. The rolldown return consists of the 5-year bond’s basis point value multiplied by the expected 25 bp yield-to-maturity change over the next six months.
C. The rolldown return will be negative if the 5-year bond has a zero coupon and is trading at a premium.
解释:
C is correct.
Rolldown return is the difference between the price of the 5-year bond
and that of a 4.5-year bond at the same yield-to-maturity.
A 5-year zero-coupon bond trading at a premium has a negative
yield. As the price “pulls to par” over time, the premium amortization will be
a loss to the investor.
A reflects the full price appreciation since it is calculated using the lower yield-to-maturity, while B equals E (Δ Price due to investor’s view of benchmark yield).
A为什么是same YTM呢?应该是同一条yield curve吧,在同一条yield curve 上,stable的情况下,4.5年对应的YTM肯定比5年的低,才能有的赚吧,如果不同时间的YTM都一样,那只能代表这条yield curve本身就是水平的,而不是向上倾斜的