请问老师,这道题解题思路是这样么?
- Swap rate=Swap spread + YG, that is 10year Swap rate=1.85%+0.2%=2.05%; 20year=2.3%+0.25%=2.55%
- Interpolation: W1*10+(1-W1)*20=12, W1=0.8; the swap rate of 12year is 0.8*1.85%+0.2*2.3%=2.15%
- I spread=corporate bond YTM-swap rate=3%-2.15%=0.85
- choose A?