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:
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:
则这笔投资的年化总收益为:
我的思路如下,想请问一下老师为何不对:
1.Total return=coupon +RI+CG,因为本题是假设zero-coupon bond,所以coupon=RI=0
=>Total return=CG
2.题干中未说yield curve是stable的,也就是无法确定riding the yied策略适用;
3.关于四年期债券在第二年提前卖出价格,未来CF(到期1元本金)折现(从第4年折现到第3年末用swap rate4,从第3年折现到第2年末用swap rate3)详情如下:
swap rate 3 swap rate 4
0__________1__________2__________3__________4
swap rate3=3.3%+4.5%=3.75
swap rate4=4.05%+0.7%=4.75%
假设到期本金为1,
P2=1/[(1+swap rate4)(1+swap rate3)]
=1/[(1+3.75%)*(1+4.75%)]
=0.92