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rabbit · 2023年08月05日

答案不一致

NO.PZ2018123101000041

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 Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?

选项:

A.

Country A

B.

Country B

C.

Country C

解释:

A is correct.

考点:Riding the yield curve策略

解析:由表格数据可知,A国利率曲线当前状态是向上倾斜的,且Tyo预期未来5年保持不变,这样的收益率曲线预期适合Riding the yield curve策略。使用Riding the yield curve需要满足收益率曲线向上倾斜,且收益率曲线预期不变,只有A国的收益率曲线满足该要求。

老师,这道题出现过一次,我印象答案是选择B的。是不是有区别?上一道选B的也不是特别明白。麻烦讲解下。谢谢

1 个答案

pzqa015 · 2023年08月07日

嗨,爱思考的PZer你好:


肯定不会是B的

riding the yield curve有两个前提,一是预期收益率曲线stable,二是未来收益率曲线向上倾斜,只有A满足这两个条件。

B现在的曲线是向上倾斜的,但说曲线未来将reversal,也就是形状会改变,由向上倾斜变平至向下倾斜,后半句spot rate>forward rate也意味着了未来曲线会向下倾斜。

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NO.PZ2018123101000041 问题如下 Exhibit 1 shows the current government spot rates for Countries anC.Tyo presents her market views on the respective yielcurves for a five-yeinvestment horizon.Country The government yielcurve hchangelittle in terms of its level anshape ring the last few years, anI expethis trento continue. We assume thfuture spot rates reflethe current forwarcurve for all maturities.Country Because of recent economic tren, I expea reversin the slope of the current yielcurve. We assume thfuture spot rates will higher thcurrent forwarrates for all maturities.Country To improve liquity, Country C’s centrbank is expecteto intervene, leang to a reversin the slope of the existing yielcurve. We assume thfuture spot rates will lower thtoy’s forwarrates for all maturities.Baseon Exhibit 1 anTyo’s expectations, whicountry’s term structure is currently best for trars seeking to ri the yielcurve? A.Country B.Country C.Country A is correct.考点Ring the yielcurve策略解析由表格数据可知,A国利率曲线当前状态是向上倾斜的,且Tyo预期未来5年保持不变,这样的收益率曲线预期适合Ring the yielcurve策略。使用Ring the yielcurve需要满足收益率曲线向上倾斜,且收益率曲线预期不变,只有A国的收益率曲线满足该要求。 看了之前的,老师只一句话C最后一句不对,我还是不明白。请老师展开,并详细对比A和C的不同之处。C未来收益率曲线会反转向上啊,为啥C不对呢?

2023-08-19 11:44 1 · 回答

为什么不选 B 呢?

2020-03-09 16:19 2 · 回答

c说会反转啊。而且forwarrate大于spot rate. a还是等于spot rate,感觉不是向上的收益率曲线。

2019-05-01 23:44 2 · 回答

c不是说会reversal吗。而且forwarrate大于spot rate。a里还是等于spot rate,感觉不是向上的收益率曲线。

2019-05-01 23:21 1 · 回答