题目
Assume the two-year term structure of spot rates is upward-sloping as follows: 1.0% at 0.5 years, 2.0% at 1.0 years, 3.0% at 1.5 years, 4.0% at 2.0 years. Consider the following two statements: I. The yield (YTM) of a two-year bond cannot be greater than 4.0% (must be less than, or equal to, 4.0%). II. Given a two-year bond, an increase in the coupon rate implies an increase in the yield(YTM) Which of the above statements is (are) TRUE?
选项
A.Neither
B.I. only
C.II. only
D.Both I. and II.
答案
B
解析
I. only. As the yield-to-maturity is a summary of all the spot rates that enter into the bond pricing equation, the yield must be less than the highest spot rate (and greater than the lowest spot rate)In regard to II. This is false: if the term structure of spot rates is increasing, as the coupon increases, generally the yield will decrease.由于到期收益率是所有进入债券定价方程式的即期利率的总结，因此收益率必须小于最高即期利率（并大于最低即期利率）关于II。 这是错误的：如果即期利率的期限结构在增加，随着息票的增加，收益率通常会下降。