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坏呼呼嘿嘿 · 2023年05月21日

所以答案解析说的也是错的?

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NO.PZ202209060200004304

问题如下:

Is the footnote Moynahan includes on page 4 most likely correct?

选项:

A.Yes. B.No, with respect to bond prices. C.No, with respect to roll down return.

解释:

Solution

C is correct. The footnote Moynahan includes on page 4 is incorrect with respect to roll down return. The roll down return is equal to the bond’s percentage price change assuming an unchanged yield curve over the strategy horizon. The roll down return results from the bond “rolling down” the yield curve as the time to maturity decreases. As time passes, a bond’s price typically moves closer to par.

A is incorrect. Moynahan’s footnote regarding the yield curve is not accurate.

B is incorrect. Moynahan’s footnote with respect to bond prices is accurate.

如题

1 个答案

pzqa015 · 2023年05月21日

嗨,努力学习的PZer你好:



题目问的是,关于page4的描述是否正确,page4关于rolldown return的描述是错误的,rolldown return不是反映债券价格向面值移动带来的return。所以,选择C选项,关于rolldown return的描述不正确。

答案的解析对rolldown return描述的第一句是正确的:The roll down return is equal to the bond’s percentage price change assuming an unchanged yield curve over the strategy horizon.。后面的不用看了。

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