NO.PZ2018062010000021
问题如下:
The spread that must be added to each rate on the benchmark yield curve (spot curve) to make the present value of a bond equal to its price is most likely:
选项:
A.Z-spread.
B.I-spread.
C.G-spread.
解释:
A is correct.
Interpolated spread's(I-spread) benchmark is swap rate.
G-spread's benchmark is government bond yield.
Z-spread must be added to each rate on the benchmark curve(spot curve) to make the present value of a bond equal to its price.
考点:spread
解析:为了使债券现金流的折现值等于其价格,我们在spot curve上加的spread是Z-spread,题干描述的就是z-spread的定义。
Z spread是公司债ytm和benchmark ytm的差,G spread是公司债spot 和国债spot的差,题干中不是说的spot么,那为啥不是C。。谢谢