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SophieZ · 2023年08月10日

这里为什么没有coupon income?

* 问题详情,请 查看题干

NO.PZ202303270300006301

问题如下:

(1) The total expected return over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项:

A.

2.515% for the Buy-and-Hold portfolio and 4.555% for the Yield Curve roll-down portfolio, respectively.

B.

2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.

C.

2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.

解释:

A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.

Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.

Buy and hold: 1.00% = (100.00-99.009)/99.009

Yield Curve Rolldown: 3.01% = (99.009-96.1169)/96.116

RFX is 1.5%. Expected returns are: Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015)-1 Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1

这里为什么没有coupon income?

1 个答案

pzqa015 · 2023年08月10日

嗨,从没放弃的小努力你好:


因为是零息债,没有coupon income

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努力的时光都是限量版,加油!