NO.PZ2021120102000028
问题如下：
Which of the following statements best describes a credit curve roll-down strategy?
选项：
A.Returns from a credit curve roll-down strategy can be estimated by
combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.
A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.
A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.
解释：
C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.
As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.
spread 向上倾斜，那么rolldown 策略里，未来spread是向下走的，所以，折现率更低，价格更高。
并不是spread向上倾斜，未来spread会上涨。
用图形表示是这样。；老师我不是很懂你上面解释的这句，为什么期末折现率反而在下面啊，信用风险上升，价格下降，应该negative returny呀？
