NO.PZ202105270100000404
问题如下：
Based on Exhibit 2 and the anticipated effects of the monetary policy change, the expected annual return over a three-year investment horizon will most likely be:
选项：
A.lower than 2.00%. B.approximately equal to 2.00%. C.greater than 2.00%.解释：
B is correct.
If the investment horizon equals the (Macaulay) duration of the portfolio, the capital loss created by the increase in yields and the reinvestment effects (gains) will roughly offset, leaving the realized return approximately equal to the original yield to maturity. This relationship is exact if (a) the yield curve is flat and (b) the change in rates occurs immediately in a single step. In practice, the relationship is only an approximation. In the case of the domestic sovereign yield curve, the 20 bp increase in rates will likely be offset by the higher reinvestment rate, creating an annual return approximately equal to 2.00%.
如果投资期限等于投资组合的(麦考利久期，收益率的增加和再投资效应(收益)造成的资本损失将大致抵消，使收益大致等于到期时的原始收益率。如果(a)收益率曲线是平坦的，并且(b)利率的变化立即在单一步骤中发生，则这种关系是准确的。实际上，这种关系只是一种近似。在国内主权收益曲线的情形中，20个基点的利率上升可能会被更高的再投资率所抵消，创造大约等于2.00%的年回报率。
这个知识点是fix income的内容吧， 有在cme 中讲到过么？ 如果有， 在哪里呢？
答案中解释This relationship is exact if (a) the yield curve is flat and (b) the change in rates occurs immediately in a single step. 为什么要flat curve呢？
题目中已经说 The bond manager notes that there is a market consensus that the domestic yield curve will likely experience a single 20 bp increase in the near term as a result of monetary tightening and then remain relatively flat and stable for the next three years。 所以在 near term，yield curve是upward slop，不是flat。 应该是要求yield curve is static 对么？
