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Chinazdk · 2024年02月13日

这题的解答看不懂

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NO.PZ202305230100003903

问题如下:

Match the following statements about forward rate curves with corresponding statements about spot rate curves.


解释:

1. B. In a normal interest rate environment with an upward-sloping yield curve, forward interest rates will be greater than their corresponding spot rates across all maturities.

2. A. In an inverted spot rate environment, forward interest rates will be below their corresponding spot rates.

3. C. A flat maturity structure of interest rates is sometimes assumed. In such an environment in which spot rates are constant, this implies that future expectations are for interest rates to remain at a constant level. Thus, forward rates equal spot rates in a flat term structure environment.

能再解释下吗?另外用到了哪一个知识点啊

1 个答案

李坏_品职助教 · 2024年02月16日

嗨,从没放弃的小努力你好:


题目问的是表格中的左侧三个关于forward rate curve的叙述,分别与右侧的ABC哪一个spot rate curve对应。


这道题考的是forward rate curve与spot rate curve的关系(参考讲义P205):

  1. forward curve处于spot curve上方,对应的是upward的spot curve,所以1对应的是B。
  2. forward curve处于spot curve下方,对应的是downward spot curve,所以2对应的是A。


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