问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
对解释不理解，可否解释下，感谢！
品职答疑小助手雍 · 2019年03月14日
同学你好，这题的本义其实就是bond的公允收益率应该是libor+CDS spread，也就是4.6%+1.5%=6.1%
而实际bond的收益率居然达到了8%，所以bond卖得便宜，这时候就应该买bond。
那么为了获得一个和libor风险一样的收益，买bond获得8%，又要买CDS来减小风险，支出1.5%，也就是会huodo获得8%-1.5%=6.5%的收益。比libor多出来6.5%-4.6%=1.9%
陈晓昭 · 2019年10月07日
YTM-Rf才是spread为什么这里理解的是coupon作为收益减掉的Libor才是spread的呢？
品职答疑小助手雍 · 2019年10月07日
题目第二行写了8%是yield，不是coupon。
苏四喜 · 2019年10月08日
可是YTM不是annual么，libor和cds premium 都是semiannual?可以直接减？
品职答疑小助手雍 · 2019年10月09日
都是annualized的啊
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？
请教本题中semiannupayments如何理解？是不是一年要付两次premium？多谢。