NO.PZ202303270300006602
问题如下：
(2) Calculate the I-spread of the corporate bond.
选项：
A.0.85%
0.65%
0.95%
解释：
B is correct. The I-spread is an estimate of the corporate bond’s spread over an interpolated swap benchmark.
We can solve for the 10-year and 20-year swap rates as 2.05% =0.20% + 1.85% and 2.55% =0.25% + 2.30%, respectively, by adding the swap spread to the respective government bond. The 12-year swap rate is 2.15% = (80%×2.05%) + (20%×2.55%), and the difference between the corporate bond YTM and the 12-year interpolated government rate is 0.80%.
B is correct. The I-spread is an estimate of the corporate bond’s spread over an interpolated swap benchmark.
We can solve for the 10-year and 20-year swap rates as 2.05% =0.20% + 1.85% and 2.55% =0.25% + 2.30%, respectively, by adding the swap spread to the respective government bond. The 12-year swap rate is 2.15% = (80%×2.05%) + (20%×2.55%), and the difference between the corporate bond YTM and the 12-year interpolated government rate is 0.80%.
答案解析有误。应该是the difference between the corporate bond YTM and the 12-year interpolated Swap rate is 0.65%吧？
