NO.PZ2023120801000049
问题如下:
The yield spread of a specific bond relative to the standard swap rate in that currency of the same tenor is most likely:
选项:
A.I-spread
Z-spread
G-spread
解释:
Correct Answer: A
The I-spread, or interpolated spread, is the yield spread of a specific bond over the standard swap rate in that currency of the same tenor. The yield spread in basis points over an actual or interpolated government bond is known as the G-spread. The Z-spread (zero-volatility spread) is the constant spread such that is added to each spot rate such that the present value of the cash flows matches the price of the bond.
z是spot的