NO.PZ2018123101000024
问题如下：
Exhibit 1 shows Nguyen’s yield curve assumptions implied by the spot rates.
Note: Par and spot rates are based on annual-coupon sovereign bonds.
Nguyen states that she has a two-year investment horizon and will purchase a three-year fixed-rate Bond Z as part of a strategy to ride the yield curve.
Nguyen is most likely making which of the following assumptions?
选项：
A.Bond Z will be held to maturity
B.The three-year forward curve is above the spot curve
C.Future spot rates do not accurately reflect future inflation
解释：
B is correct.
考点：考察Riding the yield curve策略成功需要的条件
解析：使用的策略是riding the yield curve，为了使得该策略成功，要求收益率曲线是向上倾的。而当Forward rate高于Spot rate时，就说明收益率曲线是向上倾斜的。因此B选择正确。
理论上，在现在的一个正常的收益率曲线形状中，f(2,1) > s3 > s1, 也即是说预期中，2年后的future spot rate(s1) 会升到现在f(2,1) 的位置，一年期债券的价格是要下降的，那正常情况下，持有两年后卖出是拿不到那么高的gain的。
但是stable的curve下，两年后，s1没有升到现在的f(2,1） 那么高的位置，一年期债券的价格依然很高。
也就是说的future spot rate 并没有体现出那么高的 implied forward rate.
