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jacqie · 2022年04月03日

carry roll-down在讲义哪里提到过么?

NO.PZ2020011303000197

问题如下:

What are the different assumptions that can be made when calculating the carry roll-down.

选项:

解释:

Carry roll-down can be calculated (a) assuming that forward rates are realized, (b) assuming that the term structure remains unchanged (c) assuming that bond yields remain unchanged, and (d) assuming that estimates made by the investor are realized.

找不到了,麻烦告知一下,谢谢!

1 个答案

李坏_品职助教 · 2022年04月04日

嗨,爱思考的PZer你好:


这段话是原版书的原文,在讲义的Return Decomposition这一部分也有叙述,P160-163:



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