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.
老师，能否理解为：yield curve和credit curve的roll down strategy都是一样的？都是在曲线stable，且upward sloping的情况下可以获得+dur带来的higher coupon和roll到下一期带来的价格上涨？A和C，credit curve换成yield curve，也是正确的？
总结：就是在static curve的情况下，+dur,+杠杆, sell cds protection
