雎同學(xué)
2020-08-27 06:42加引號(hào)那句話不理解，煩請(qǐng)講解With an upward sloping curve, the coupon curve is the lowest, “the zero-coupon curve is above the coupon curve ”and the forward curve is above the zero-coupon curve. The order is reversed if the curve is downward sloping.
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-08-27 11:24
該回答已被題主采納
同學(xué)你好，coupon curve 指的就是付息債券的收益率曲線
zero-coupon curve 指的就是零息債券的收益率曲線，零息債券的收益率又叫做即期利率，因此zero-coupon curve 就是即期利率曲線
forward curve指的是遠(yuǎn)期利率曲線
當(dāng)期限結(jié)構(gòu)向上傾斜的時(shí)候，遠(yuǎn)期利率在最上面，即期利率在中間，收益率曲線在最下方，英文表述就是：With an upward sloping curve, the coupon curve is the lowest, “the zero-coupon curve is above the coupon curve ”and the forward curve is above the zero-coupon curve. The order is reversed if the curve is downward sloping.反過(guò)來(lái)，也是一樣的道理，如下圖所示
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