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Zunniyaki · 2022年11月28日

关于Z-DM和DM的区别

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the following statements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释：

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

Z-DM和DM的区别可以简单理解为前者考虑到了MRR的变化，而后者是假设MRR不变么？对于DM来说，由于假设MRR不变，所以floating note的price变化是通过DM的变化来实现的，但是对于Z-DM来说，由于假设MRR是变化的，所以Z-DM是constant的。不知道这样的理解正确吗？

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2 个答案

pzqa015 · 2023年01月14日

嗨，爱思考的PZer你好：


是的

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2022年11月28日

嗨，努力学习的PZer你好：


Z-DM和DM的区别可以简单理解为前者考虑到了MRR的变化，而后者是假设MRR不变么？

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前者考虑了不同期限MRR的不同，就类似spot rate，折现求价格的公式中，一条曲线上s1、s2、s3...sn的数值不一定相同，MRR1，MRR2....MRRn的数值也不一定相同，Z-DM是加在MRR1...MRRn上的一个constant值。

DM没有考虑不同期限MRR的不同，或者说认为MRR不变，就类似ytm，折现求价格的公式中，ytm是恒定的，DM是加在这个恒定的MRR上的constant值。

对于DM来说，由于假设MRR不变，所以floating note的price变化是通过DM的变化来实现的

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是的，float price的变化，是通过信用状况变化，进而DM变化来实现的。


但是对于Z-DM来说，由于假设MRR是变化的，所以Z-DM是constant的。不知道这样的理解正确吗？

---

ZDM和DM都是常数，但这个常数指的是加在各期MRR上的固定值，而不是说它在债券存续期内不改变，如果信用状况变化，ZDM和DM也都会变化，进而影响到债券价格。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

cccharlene · 2023年01月14日

For B, if the MRR is expected to remain constant over time, the Z-DM will be the same as DM? 对应的知识点是：Considering the forward MRR, if the yield curve is upward-sloping, the calculated Z-DM will be lower than the DM.

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