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Tammy · 2023年03月10日

C选项没懂

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000042

问题如下：

Exhibit 1 shows the current government spot rates for Countries A, B, and C.

Tyo presents her market views on the respective yield curves for a five-year investment horizon.

Country A: The government yield curve has changed little in terms of its level and shape during the last few years, and I expect this trend to continue. We assume that future spot rates reflect the current forward curve for all maturities.

Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be higher than current forward rates for all maturities.

Country C: To improve liquidity, Country C’s central bank is expected to intervene, leading to a reversal in the slope of the existing yield curve. We assume that future spot rates will be lower than today’s forward rates for all maturities.

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.

考点：Forward Curve与Spot curve之间的关系

解析：B国的收益率曲线目前向上倾斜，但Tyo预计当前收益率曲线的斜率会出现逆转。这意味着她预期B国的最终收益率曲线向下倾斜，得到的Forward rate曲线将位于Spot rate曲线下方。A是不正确的，因为A国的收益率曲线目前向上倾斜，而Tyo预计收益率曲线将保持该形状。该预期意味着远期利率曲线仍将高于spot rate曲线。C是不正确的，因为C国的收益率曲线目前向下倾斜，而Tyo预计当前收益率曲线的斜率会反转。这意味着她预期C国的最终收益率曲线向上倾斜，这意味着得到的Forward rate曲线将高于spot rate曲线。

We assume that future spot rates will be lower than today’s forward rates for all maturities。

这不是意思我们假设未来所有期限的即期利率都将低于今天的远期利率,不是说将来收益率曲线是向下的吗？那不就是the forward curve of which country will lie below its spot curve

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1 个答案

pzqa015 · 2023年03月12日

嗨，努力学习的PZer你好：


根据C我们计算一下现在的foward rate

f(1,1)=10.82%，f(1,2)=10.72%，f(1,3)=10.02%，f(1,4)=9.89%。

当前的forward rate曲线是向下倾斜的。

假设未来的spot rate都低于现在这条forward rate曲线，只能说明预测未来各期的spot rate都低于现在的forward rate，并不能说明未来spot rate的曲线向下倾斜，比如，未来的s1=9%，s2=9.1%，s3=9.2%，s4=9.3%，这也叫future spot rates will be lower than today's forward rates for all maturities，但未来的spot rate曲线是向上倾斜的，那么也进一步说明未来的forward rate是在未来的spot rate之上的，而不是在spot rate之下。

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2021-04-11 11:20 1 · 回答

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2021-03-25 11:09 2 · 回答

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