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IanZQ · 2022年09月15日

COUNTRY C

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000106

问题如下：

Based on Exhibit 1 and assuming Tyo’s market views on yield curve changes are realized, the forward curve of which country will lie below its spot curve?

选项：

A.

Country A

B.

Country B

C.

Country C

解释：

B is correct.

The yield curve for Country B is currently upward sloping, but Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country B to slope downward, which implies that the resulting forward curve would lie below the spot yield curve. The forward curve lies below the spot curve in scenarios in which the spot curve is downward sloping;the forward curve lies above the spot curve in scenarios in which the spot curve is upward sloping.

A is incorrect because the yield curve for Country A is currently upward sloping and Tyo expects that the yield curve will maintain its shape and level. That expectation implies that the resulting forward curve would be above the spot yield curve.

C is incorrect because the yield curve for Country C is currently downward sloping and Tyo expects a reversal in the slope of the current yield curve. This means she expects the resulting yield curve for Country C to slope upward, which implies that the resulting forward curve would be above the spot yield curve.

COUNTRY C 这句话We assume that future spot rates will be lower than today’s forward rates for all maturities."是什么意思呢？

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1 个答案

pzqa015 · 2022年09月15日

嗨，从没放弃的小努力你好：


futures spot rate是预期未来的spot rate，today's forward rate站在现在看，各期限spot rate所隐含的未来各期限的forward rate。

举个例子：

现在s1=1.5%，s2=2.5%、s3=3.5%.

根据（1+s1）(1+f(1,1))=(1+s2)^2，可以得到f(1,1)=3.5%

根据（1+s1）(1+f(1,2))^2=(1+s3)^3，可以得到f(1,2)=4.51%。

f(1,1)代表现在可以锁定的t=1时刻，1年期的利率，f(1,2)代表现在可以锁定的t=1时刻，2年期的利率。

比如现在预测，1年后，1年期的利率为2.5%、2年期的利率为4.0%，也就是future s1=2.5%,future s2=4.0%

那么它是小于forward rate的。

这就是we assume that future spot rates will be lower than today’s forward rates for all maturities

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NO.PZ201712110200000106 问题如下 Baseon Exhibit 1 anassuming Tyo’s market views on yielcurve changes are realize the forwarcurve of whicountry will lie below its spot curve? A.Country B.Country C.Country B is correct. The yielcurve for Country B is currently upwarsloping, but Tyo expects a reversin the slope of the current yielcurve. This means she expects the resulting yielcurve for Country B to slope wnwar whiimplies ththe resulting forwarcurve woullie below the spot yielcurve. The forwarcurve lies below the spot curve in scenarios in whithe spot curve is wnwarsloping;the forwarcurve lies above the spot curve in scenarios in whithe spot curve is upwarsloping.A is incorrebecause the yielcurve for Country A is currently upwarsloping anTyo expects ththe yielcurve will maintain its shape anlevel. Thexpectation implies ththe resulting forwarcurve woulabove the spot yielcurve.C is incorrebecause the yielcurve for Country C is currently wnwarsloping anTyo expects a reversin the slope of the current yielcurve. This means she expects the resulting yielcurve for Country C to slope upwar whiimplies ththe resulting forwarcurve woulabove the spot yielcurve. 我知道B是对的，但是C为什么不对？

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2021-06-19 11:34 1 · 回答

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2020-04-05 22:06 1 · 回答

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2020-04-03 09:53 1 · 回答