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來(lái)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(gè)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(jìn)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(guò)bootstrapping決定的，是通過(guò)par rate從后往前一期一期推導(dǎo)而來(lái)的。題目問(wèn)的是這句話有沒有錯(cuò)，前半句話沒有問(wèn)題，后半句話錯(cuò)在從后往前推導(dǎo)。因?yàn)閎ootstrapping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(dǎo)spot rate2，以此類推。所以這道題選C

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