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二狗 · 2025年05月18日

bond over a 1-year period

NO.PZ2025042401000018

问题如下:

For an investor expecting future spot rates to be below the current forward rates, the expected return of a bond over a 1-year period will be:

选项:

A.less than the 1-year risk-free rate. B.equal to the 1-year risk-free rate. C.greater than the 1-year risk-free rate.

解释:

Solution
  1. A is incorrect because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.

  2. B is incorrect because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.

  3. C is correct because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.

The Term Structure and Interest Rate Dynamics
  • describe the strategy of rolling down the yield curve

bond over a 1-year period是指一年期的债券,还是期限超过一年的债券?

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