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甜甜圈洞 · 2023年11月19日

请问这道题的条件是没有给全吗？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000030

问题如下：

If the price of the QWE bond is 98.70% of par, its Z-spread (in basis points) is closest to:

选项：

A.

80.

B.

82.

C.

87.

解释：

B is correct. To calculate the Z-spread, we must solve for Z in the following equation, given the spot rates and price of the bond:


The Solver add-in for Microsoft Excel finds Z = 0.0082, or 82 bps, by setting the price (sum of present values of cash flows) equal to 98.70 as the objective and Z as the change variable. Please refer to the candidate learning ecosystem online for a spreadsheet demonstrating the calculation.

A is incorrect because 80 bps is the value of the G-spread, not the Z-spread. The G-spread is calculated as the difference between the QWE bond yield and the yield of the government bond with the same maturity:

G-spread = 2.707% – 1.904% = 80 bps.

C is incorrect because 87 bps is the I-spread, not the Z-spread. The I-spread is calculated as a yield spread of a bond over the standard swap rate in the same currency and with the same tenor. The yield-to-maturity for the corporate bond is 2.707%, and the swap rate for the same maturity is 1.840%.

I-spread = 2.707% – 1.840% = 87 bps.

请问这道题的条件是没有给全吗？

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1 个答案

pzqa015 · 2023年11月20日

嗨，努力学习的PZer你好：


是的，没给全。不用看这道题了。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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