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PZmomo · 2024年05月01日

c选项错在哪里？

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202304070100000602

问题如下：

Alexander asks about Nguyen’s current trading activities. Nguyen states that she has a two-year investment horizon and will purchase Bond Z as part of a strategy to ride the yield curve. By choosing to buy Bond Z, 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：

Correct Answer: B

Nguyen’s strategy is to ride the yield curve, which is appropriate when the yield curve is upward sloping. The yield curve implied by Exhibit 1 is upward sloping, which implies that the three-year forward curve is above the current spot curve. When the yield curve slopes upward, as a bond approaches maturity or “rolls down the yield curve,” the bond is valued at successively lower yields and higher prices.

c选项错在哪里？

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品职答疑小助手雍 · 2024年05月02日

同学你好，C选项的inflation和riding the yield curve没有什么关系

riding the yield curve策略两个前提，收益率曲线是stable的并且收益率曲线向上倾斜的。

C选项如果改成future spot rate do not accurately reflect implied forward rate就对了，现在的收益率曲线是向上倾斜的，说明implied forward rate更大，但是到了下一年之后，spot rate依然保持一样，说明future spot rate没有实现当初那么大的implied forward rate。因为期初债券定价是使用更高的Implied forward rate，正是预测下一年Yield curve stable，也就是真正实现的Spot rate比期初预测的Implied forward rate更低，才有Capital gain的机会。因为期初用了更大的Implied forward rate定价。所以stable的条件换句话说就是future spot rate没有实现期初预测的更高的implied forward rate。

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NO.PZ202304070100000602 问题如下 Alexanr asks about Nguyen’s current trang activities. Nguyen states thshe ha two-yeinvestment horizon anwill purchase BonZ part of a strategy to ri the yielcurve. choosing to buy BonZ, Nguyen is most likely making whiof the following assumptions? A.BonZ will helto maturity. B.The three-yeforwarcurve is above the spot curve. C.Future spot rates not accurately reflefuture inflation. CorreAnswer: BNguyen’s strategy is to ri the yielcurve, whiis appropriate when the yielcurve is upwarsloping. The yielcurve implieExhibit 1 is upwarsloping, whiimplies ththe three-yeforwarcurve is above the current spot curve. When the yielcurve slopes upwar a bonapproaches maturity or “rolls wn the yielcurve,” the bonis valuesuccessively lower yiel anhigher prices. 这是怎么推断出来的？

2024-04-25 23:08 1 · 回答