徐威廉 · 2022年05月25日
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NO.PZ202112010200001602
问题如下：
What is the instantaneous (holding period of zero) excess return for the BB rated bond if the spread widens by 50 bps?
选项：
A.3.00%
–2.50%
2.50%
解释：
B is correct. The instantaneous holding period return equals –EffSpreadDur × ∆Spread = –5 × 0.5% or –2.50%.
持有期为0所以没有了持有期原始spread也没有了持有期的expected loss， 但是这样因为spread变动造成的excess return有什么实际意义？ 都没有持有，何来的return？
NO.PZ202112010200001602 问题如下 active fixeincome manager is consiring two corporate bonositions for active portfolio. The first bonha Brating with acret spreof 2.75% aneffective spreration of 6, anthe secononha rating with a cret spreof 3.50% aneffective spreauration of five years. Whis the instantaneous (holng perioof zero) excess returnfor the ratebonif the sprewins 50 bps? A.3.00% B.–2.50% C.2.50% B is correct. The instantaneous holng perioreturnequals –EffSpreaur × ∆Spre= –5 × 0.5% or –2.50%. 瞬时变化下，EXR公式最后一下LGPO要扣除吗？之前听押题班的时候，老师提到过原版书里有个例题中，瞬时变化下的EXR扣除了LGPO
NO.PZ202112010200001602 问题如下 Whis the instantaneous (holng perioof zero) excess returnfor the ratebonif the sprewins 50 bps? A.3.00% B.–2.50% C.2.50% B is correct. The instantaneous holng perioreturnequals –EffSpreaur × ∆Spre= –5 × 0.5% or –2.50%. 为什么不减去cret spre3.5%？ 难道是因为instataneous？ 后面也有题目是瞬时的，但是减去了cret spread
