NO.PZ202112010200000801
问题如下：
The rolldown returns over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:
选项：
A.
1.00% for the Buy-and-Hold
portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.
B.
0.991% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.
C.
0.991% for the Buy-and-Hold portfolio and 2.09% for the Yield Curve Rolldown portfolio, respectively.
解释：
A is correct.
Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.
- Buy and Hold: 1.00% = (100.00 - 99.009)/99.009
- Yield Curve Rolldown: 3.01% = (99.009 - 96.1169)/96.1169
助教老师，我在计算两年期的roll down return, 跟标准答案不一样，请问我的计算哪里有问题？
