开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

LL77 · 2024年10月28日

请问Z-spread怎么用计算器计算？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000030

问题如下：

An analyst is analyzing a three-year, 2.25% annual coupon bond issued by QWE Company. Currently, the bond’s yield-to-maturity is 2.707%. The three-year swap rate is 1.840%. The government spot rates are presented in the table.


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.

Z-spread这个方程怎么解？

添加评论
1 个答案
已采纳答案

吴昊_品职助教 · 2024年10月29日

嗨，从没放弃的小努力你好：


求解Z-spread，只能用试错法，将三个选项中当中的那一个代进去试试看。

本题我们代入的是82bp，代进去如果刚好相等，那z-spread刚好就是82bp；

如若代进去算出来的折现值大于左边98.70，就说明我们选用的折现率小了，应该选择更大的z-spread（即87bp）；

如若代进去算出来的折现值小于左边98.70，就说明我们选用的折现率大了，则应该选择更小的z-spread（即80bp）。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 60

    浏览
相关问题

NO.PZ2023052301000030 问题如下 analyst is analyzing a three-year, 2.25% annucoupon bonissueQWE Company. Currently, the bons yielto-maturity is 2.707%. The three-yeswrate is 1.840%. The government spot rates are presentein the table.If the priof the QWE bonis 98.70% of par, its Z-spre(in basis points) is closest to: A.80. B.82. C.87. B is correct. To calculate the Z-sprea we must solve for Z in the following equation, given the spot rates anpriof the bonThe Solver a-in for Microsoft Excel fin Z = 0.0082, or 82 bps, setting the pri(sum of present values of cash flows) equto 98.70 the objective anZ the change variable. Please refer to the cante learning ecosystem online for a spreaheet monstrating the calculation.A is incorrebecause 80 bps is the value of the G-sprea not the Z-sprea The G-spreis calculatethe fferenbetween the QWE bonyielanthe yielof the government bonwith the same maturity:G-spre= 2.707% – 1.904% = 80 bps.C is incorrebecause 87 bps is the I-sprea not the Z-sprea The I-spreis calculatea yielspreof a bonover the stanrswrate in the same currenanwith the same tenor. The yielto-maturity for the corporate bonis 2.707%, anthe swrate for the same maturity is 1.840%.I-spre= 2.707% – 1.840% = 87 bps. 为什么不能用2.707%-1.84%

2024-10-13 06:50 1 · 回答

NO.PZ2023052301000030 问题如下 analyst is analyzing a three-year, 2.25% annucoupon bonissueQWE Company. Currently, the bons yielto-maturity is 2.707%. The three-yeswrate is 1.840%. The government spot rates are presentein the table.If the priof the QWE bonis 98.70% of par, its Z-spre(in basis points) is closest to: A.80. B.82. C.87. B is correct. To calculate the Z-sprea we must solve for Z in the following equation, given the spot rates anpriof the bonThe Solver a-in for Microsoft Excel fin Z = 0.0082, or 82 bps, setting the pri(sum of present values of cash flows) equto 98.70 the objective anZ the change variable. Please refer to the cante learning ecosystem online for a spreaheet monstrating the calculation.A is incorrebecause 80 bps is the value of the G-sprea not the Z-sprea The G-spreis calculatethe fferenbetween the QWE bonyielanthe yielof the government bonwith the same maturity:G-spre= 2.707% – 1.904% = 80 bps.C is incorrebecause 87 bps is the I-sprea not the Z-sprea The I-spreis calculatea yielspreof a bonover the stanrswrate in the same currenanwith the same tenor. The yielto-maturity for the corporate bonis 2.707%, anthe swrate for the same maturity is 1.840%.I-spre= 2.707% – 1.840% = 87 bps. 第一个2.25的分母是1.01719，第二个2.25的分母是1.0208的平方，第三个102.5的分母是1.02724的三次方。不知道哪里错了。。

2024-08-12 15:45 1 · 回答

NO.PZ2023052301000030问题如下 analyst is analyzing a three-year, 2.25% annucoupon bonissueQWE Company. Currently, the bons yielto-maturity is 2.707%. The three-yeswrate is 1.840%. The government spot rates are presentein the table.If the priof the QWE bonis 98.70% of par, its Z-spre(in basis points) is closest to: A.80.B.82.C.87. B is correct. To calculate the Z-sprea we must solve for Z in the following equation, given the spot rates anpriof the bonThe Solver a-in for Microsoft Excel fin Z = 0.0082, or 82 bps, setting the pri(sum of present values of cash flows) equto 98.70 the objective anZ the change variable. Please refer to the cante learning ecosystem online for a spreaheet monstrating the calculation.A is incorrebecause 80 bps is the value of the G-sprea not the Z-sprea The G-spreis calculatethe fferenbetween the QWE bonyielanthe yielof the government bonwith the same maturity:G-spre= 2.707% – 1.904% = 80 bps.C is incorrebecause 87 bps is the I-sprea not the Z-sprea The I-spreis calculatea yielspreof a bonover the stanrswrate in the same currenanwith the same tenor. The yielto-maturity for the corporate bonis 2.707%, anthe swrate for the same maturity is 1.840%.I-spre= 2.707% – 1.840% = 87 bps. 如果用计算器，这道题怎样计算呢？

2024-03-27 22:01 1 · 回答

NO.PZ2023052301000030问题如下 If the priof the QWE bonis 98.70% of par, its Z-spre(in basis points) is closest to: A.80.B.82.C.87. B is correct. To calculate the Z-sprea we must solve for Z in the following equation, given the spot rates anpriof the bonThe Solver a-in for Microsoft Excel fin Z = 0.0082, or 82 bps, setting the pri(sum of present values of cash flows) equto 98.70 the objective anZ the change variable. Please refer to the cante learning ecosystem online for a spreaheet monstrating the calculation.A is incorrebecause 80 bps is the value of the G-sprea not the Z-sprea The G-spreis calculatethe fferenbetween the QWE bonyielanthe yielof the government bonwith the same maturity:G-spre= 2.707% – 1.904% = 80 bps.C is incorrebecause 87 bps is the I-sprea not the Z-sprea The I-spreis calculatea yielspreof a bonover the stanrswrate in the same currenanwith the same tenor. The yielto-maturity for the corporate bonis 2.707%, anthe swrate for the same maturity is 1.840%.I-spre= 2.707% – 1.840% = 87 bps. 请问这道题的条件是没有给全吗？

2023-11-19 22:53 1 · 回答