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Because、 · 2020年03月11日

问一道题:NO.PZ201701230200000107

* 问题详情,请 查看题干

问题如下:

7. 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:

B is correct.

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.

您好老师,请问可不可以解释一下选项c,不懂它为什么被排除。而且我在做题的时候认为它满足了stable curve 这个assumption,是不是理解错了?


1 个答案

WallE_品职答疑助手 · 2020年03月12日

同学你好,

riding the yield curve策略两个前提条件,1.收益率曲线向上倾斜;2.收益率曲线stable。B选项:forward curve在spot curve上方,这就能说明收益率曲线是向上倾斜的。所以选B。而C选项并不满足上述两个条件的其中一个,所以也不是stable yield curve的假设,所以被排除了。