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.
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).
https://class.pzacademy.com/qa/96754
rolldown return=P1/P0-1,这个rolldown return与期初债券折价还是溢价发行有关。如果溢价发行,随着时间的流逝,债券价格向下趋近于par,此时,rolldown return为负,如果折价发行,随着时间的流逝,债券价格向上趋近于par,此时,rolldown return为正。
https://class.pzacademy.com/qa/97673
C选项错在rolling yield的正负与折价还是溢价发行无关,只与收益率曲线形状有关,如果收益率曲线如上图这样的向上倾斜,那么计算的rolling yield为正,如果收益率曲线向下倾斜,那么计算的rolling yield 为负。
rolldown return到底跟什么有关?选项C是不是对的?