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ZF Everyday · 2022年07月24日

S2问题

NO.PZ2018123101000027

问题如下:

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

Smith buys a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields. Smith should show a total return closest to:

选项:

A.

4.31%.

B.

5.42%.

C.

6.53%.

解释:

C is correct.

考点:考察Riding the yield curve策略

解析:由题干已知,Swap rate来代替公司债的收益率;四年期的Swap spread息差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swap rate = 4.05% + 0.70% = 4.75%。

因此,购买的4年期零息债券的价格为:

price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058

两年期的公司债收益率为2年期的Swap rate, swap rate = 2.70% +0.30% = 3%,

4年期的零息债券持有2年后的卖出价格为:

price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260

则这笔投资的年化总收益为:

94.26083.0581=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%

为什么是从第四年往第二年折旧这个问题,我有认真听基础课,对于何老师讲到这个知识点有点遗忘,请老师再详细表述一下?或者方便指出来具体在哪个视频里有体现?我再去重新听一下。

1 个答案
已采纳答案

pzqa015 · 2022年07月25日

嗨,努力学习的PZer你好:


期初你买的是4年期的债,2年后卖出,此时,它的剩余期限是2年,无论什么时候,计算债券价格都是未来现金流折现求和。

那么期初,要用4年期的折现率折现,期末用2年期的折现率折现。

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