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王昕彤 · 2022年05月02日

关于利率变化的问题

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000306

问题如下：

If the Brown and Company forecast comes true, which of the following is most likely to occur? The value of the embedded option in:

选项：

A.

Bond 3 decreases.

B.

Bond 4 decreases.

C.

both Bond 3 and Bond 4 increases.

解释：

A is correct.

All else being equal, the value of a put option decreases as the yield curve moves from being upward sloping to flat to downward sloping (inverted). Alternatively, a call option’s value increases as the yield curve flattens and increases further if the yield curve inverts. Therefore, if the yield curve became inverted, the value of the embedded option in Bond 3 (putable) would decrease and the value of the embedded option in Bond 4 (Callable) would increase.

老师，前面的段落中提到预测利率会下降，那现在invert curve,利率不是应该上升才对吗？

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3 个答案

pzqa015 · 2023年03月05日

嗨，努力学习的PZer你好：


2、是“长短期利差的缩小，意味着未来短期利率下降”，而不是“长短期利率的利差变小就说明短期利率下降”，因为长期利率可以看成现在短期利率与未来短期利率的平均值，所以，现在短期利率已知的情况下，长期利率下降（长短期利差变小），意味着未来短期利率下降。

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努力的时光都是限量版，加油！

pzqa015 · 2023年03月05日

嗨，从没放弃的小努力你好：


1、Pure (Unbiased) Expectations Theory


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2022年05月03日

嗨，爱思考的PZer你好：


不是这样的。

inverted是指收益率曲线形状的变化，根据表1，收益率曲线现在是向上倾斜的，Brown预测收益率曲线inverted，inverted意味着长短期利率的利差缩小，由于长期利率可以看成是在短期利率与未来短期利率的平均值，所以，长短期利差的缩小，意味着未来短期利率下降，callable 的embedded option能否行权，取决于未来的短期利率，那么根据inverted yield curve判断出未来短期利率下降，所以，callable更容易行权，故callable的embedded option value会上涨。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

小火儿 · 2023年03月05日

1. 哪里有讲到“长期利率可以看成是在短期利率与未来短期利率的平均值”，2. 为什么长短期利率的利差变小就说明短期利率下降呢？

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2024-06-27 17:29 3 · 回答

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