问题如下:
Wang is a fixed-income analyst in a wealth management firm. He expects the yield curve will remain stable over the next 12 months. Suppose the investment horizon is 1-year and there are two strategies at the moment. The first one is to apply buy and hold strategy using the government bonds and the second is to buy a 2-year government bond and invest for 1-year. The relevant information is shown below:
According to the information above, what is the implied forward rate F(1,1)?
选项:
A. 3.36%
B. 3.84%
C. 3.11%
解释:
B is correct
考点:使用Riding the yield curve策略时收益率曲线的理解
解析:当前状态下,1年期债券的YTM是2.88%,2年期债券的YTM是3.36%,则F(1,1)等于:
(1+2.88%)[1+F(1,1)]=(1+3.36%)^2
F(1,1)=3.84%
Q1:有没有这个结论:forward rate=riding the yield curve的rolling return?记得基础课好像讲到过的。 Q2:答案中forward rate计算公式明白,但不记得spot rate和YTM有啥关系?这题用的YTM算出的答案