第二句说this expected change is zero if the investor expects yield curves remain unchanged.是不是意味着如果yield curve是stable,benchmark yield就是0?rolldown return就会假设是stable,是否看到这个条件,就等同于benchmark yield是0?
是的,如果expects yield curves remain unchanged,意味着△y=0,那么根据E(△price due to the view of benchmark yield)=-duration*△y+1/2*convexity*(△y)^2,E(△price due to the view of benchmark yield)=0。