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.
B.
A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.
C.
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.
之前有解释说：我们做credit curve roll down策略，price appreciation来源于两部分，一是benchmark curve roll down产生的，二是credit spread curve roll down产生的，如果像A这样仅说来源于passage of time带来的price appreciation，是放大了credit curve roll down产生的price appreciation，所以，A句话的表述是有问题的，正确的表示是加上assumping flat benchmark yield curve这句话。
两个问题
benchmark curve和credit curve具有有什么关系，能画图解释一下吗？
“passage of time带来的price appreciation，是放大了credit curve roll down产生的price appreciation”这句话不能理解，随着时间流逝，benchmark curve不也存在roll down收益吗？凭什么只说是由credit curve带来的
