问一道题：NO.PZ2016082406000062 [ FRM II ]

NO.PZ2016082406000062 A six-yeC on a AA-rateissuer is offere150with semiannupayments while the yielon a six-yeannucoupon bonof this issuer is 8%. There is no counterparty risk on the C. The annualizeLIBOR rate paievery six months is 4.6% for all maturities. Whistrategy woulexploit the arbitrage opportunity? How muwoulyour return exceeLIBOR? Buy the bonanthe C with a risk-free gain of 1.9%. Buy the bonanthe C with a risk-free gain of 0.32%. Short the bonansell C protection with a risk-free gain of 4.97%. There is no arbitrage opportunity any apparent risk-free profit is necessarily compensation for being exposeto the cret risk of the issuer. ANSWER: A Because LIBOR is flat, the fixecoupon yielis also 4.6%, creating a spreof   800−460=340bp800-460=340bp800−460=340on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 340−150=190bp340-150=190bp340−150=190bp. 之前老师的介绍是这题的本义其实就是bon公允收益率应该是libor+C sprea也就是4.6%+1.5%=6.1% 而实际bon收益率居然达到了8%，所以bon得便宜，这时候就应该买bon 那么为了获得一个和libor风险一样的收益，买bon得8%，又要买C来减小风险，支出1.5%，也就是会huo获得8%-1.5%=6.5%的收益。比libor多出来6.5%-4.6%=1.9% ———————————————————————————————— 我理解，应该是半年一期，那么libor + C sprea收益率在半年内是 4.6%+1.5%=6.1%， 但是boncoupon是8%，那么半年的收益率 应该是4%。 这里年化、半年一期之类的把人搞困惑了，求指导。

A six-yeC on a AA-rateissuer is offere150with semiannupayments while the yielon a six-yeannucoupon bonof this issuer is 8%. There is no counterparty risk on the C. The annualizeLIBOR rate paievery six months is 4.6% for all maturities. Whistrategy woulexploit the arbitrage opportunity? How muwoulyour return exceeLIBOR? Buy the bonanthe C with a risk-free gain of 1.9%. Buy the bonanthe C with a risk-free gain of 0.32%. Short the bonansell C protection with a risk-free gain of 4.97%. There is no arbitrage opportunity any apparent risk-free profit is necessarily compensation for being exposeto the cret risk of the issuer. ANSWER: A Because LIBOR is flat, the fixecoupon yielis also 4.6%, creating a spreof   800−460=340bp800-460=340bp800−460=340on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 340−150=190bp340-150=190bp340−150=190bp. 保费是半年付一次，求套利收益的时候，不用考虑半年时那笔保费的时间价值吗？解答中直接是340-150=190在求

A six-yeC on a AA-rateissuer is offere150with semiannupayments while the yielon a six-yeannucoupon bonof this issuer is 8%. There is no counterparty risk on the C. The annualizeLIBOR rate paievery six months is 4.6% for all maturities. Whistrategy woulexploit the arbitrage opportunity? How muwoulyour return exceeLIBOR? Buy the bonanthe C with a risk-free gain of 1.9%. Buy the bonanthe C with a risk-free gain of 0.32%. Short the bonansell C protection with a risk-free gain of 4.97%. There is no arbitrage opportunity any apparent risk-free profit is necessarily compensation for being exposeto the cret risk of the issuer. ANSWER: A Because LIBOR is flat, the fixecoupon yielis also 4.6%, creating a spreof   800−460=340bp800-460=340bp800−460=340on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 340−150=190bp340-150=190bp340−150=190bp. 这个semiannual的C意思是每半年支付4.6%+1.5%的保费吗？

     对不理解，可否下，感谢！