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Pavel Korchagin · 2024年02月21日

这道题如果没有要求benchmark 的coupon也是6%，还需要用二叉树算国债YTM吗？

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812310200000109

问题如下：

 Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:

选项：

A.

108 bps.

B.

101 bps.

C.

225 bps.

解释：

A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24 The YTM can be obtained by solving the following equation for IRR:

1101.24= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

The solution to this equation is 3.26%.

Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:

1144.63= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is 3.26% – 2.18% = 1.08%, or 108 bps.

B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.

C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.

RT

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pzqa31 · 2024年02月22日

嗨，从没放弃的小努力你好：


不可以，因为题干中给到：假设未来利率标准差是20%，说明预测未来利率波动，那么此时只能用二叉树计算。

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