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來自:CFA > 2024 Level II > Fixed Income > Learning Module 1 The Term Structure and Interest Rate Dynamics 2024-05-11 23:18
Country B: “Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be higher than current forward rates for all maturities.”這個不是表明curve是upward sloping的嗎? Country C: “We assu
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融躍答疑王老師    2024-05-13 10:30

致精進的你:

“Spot rates are determined through the process of bootstrapping. It entails backward substitution using par yields to solve for zero-coupon rates one by one, in order from latest to earliest maturities.,,即期利率是通過bootstrapping決定的,是通過par rate從后往前一期一期推導而來的。題目問的是這句話有沒有錯,前半句話沒有問題,后半句話錯在從后往前推導。因為bootstrapping是從前往后推的,我們知道par rate1=spot rate1,然后再根據(jù)par rate2推導spot rate2,以此類推。所以這道題選C

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