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%.
为什么不减去credit spread 3.5%? 难道是因为instataneous? 后面也有题目是瞬时的,但是减去了credit spread