融躍教育

融躍CFA答疑師老師    2024-01-23 10:26

致精進(jìn)的你:

同學(xué)你好，屬于固收的roll down（yield curve、spread curve），當(dāng)curve向上傾斜，rolldown return就為正，向下傾斜，為負(fù)。 關(guān)于【遠(yuǎn)期的rolldown 】，如果是指currency management 里面的，正負(fù)主要取決于① forward points are at a premium or discount（即forward 是contango or 即backwardation）；②本身是Long or short頭寸。 對于long forward，以forward price 買標(biāo)的，以S賣標(biāo)的，所以roll yield=（S-F）/S, contango為負(fù)，backwardation為正； 對于short forward，以forward price 賣標(biāo)的，以S買標(biāo)的，所以roll yield=（F-S）/S, contango為正，backwardation為負(fù)； 關(guān)于【bond pull to par的roll down】，可以看一下原版教材的這段定義：The rolldown return, sometimes referred to as “rolldown and carry return,” results from the bond “rolling down” the yield curve as the time to maturity decreases (see Exhibit?10), assuming zero interest rate volatility. Bond prices change as time passes even if the market discount rate remains the same. As time passes, a bond’s price typically moves closer to par. This price movement is illustrated by the constant-yield price trajectory, which shows the “pull to par” effect on the price of a bond trading at a premium or a discount to par value.是說rolldown return的產(chǎn)生是由于時(shí)間的推移，債券價(jià)格變化產(chǎn)生的。這個(gè)特征是對于折價(jià)或溢價(jià)債券，債券價(jià)格隨著時(shí)間推移回歸面值， 即“pull to par” effect。

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