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你的肉松掉了 · 2017年10月05日

其实AC说的意思不是和B一样吗?问一道题:NO.PZ2016031001000073 [ CFA I ]

问题如下图:
选项:
A.
B.
C.
解释:
1 个答案

maggie_品职助教 · 2017年10月07日

完全不一样。

matrix pricing用作对信用债券的利差做估计,BC都是benchmark rate,是市场可得的不需要估计。

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market scount rate of other comparable corporate bon. yielto-maturity on a government bonhaving a similtime-to-maturity. A is correct. Matrix pricing is usein unrwriting new bon to get estimate of the requireyielspreover the benchmark rate. The benchmark rate is typically the yielto-maturity on a government bonhaving the same, or close to the same, time-to-maturity. The spreis the fferenbetween the yielto-maturity on the new bonanthe benchmark rate. The yielspreis the aitioncompensation requireinvestors for the fferenin the cret risk, liquity risk, antstatus of the bonrelative to the government bon In matrix pricing, the market scount rates of comparable bon anthe yielto-maturity on a government bonhaving a similtime-to-maturity are not estimate Rather they are known anuseto estimate the requireyielspreof a new bon 看了还是不太明白B错的点在哪里?怎么改才是对的?

2020-11-26 08:00 1 · 回答

B项减去C项,最终得到A项。matrix pricing的最终目的是求A项所说的spreaB、C项描述的是计算过程和中间步骤,不是目的。这样理解对吗?

2020-10-31 15:41 1 · 回答

market scount rate of other comparable corporate bon. yielto-maturity on a government bonhaving a similtime-to-maturity. A is correct. Matrix pricing is usein unrwriting new bon to get estimate of the requireyielspreover the benchmark rate. The benchmark rate is typically the yielto-maturity on a government bonhaving the same, or close to the same, time-to-maturity. The spreis the fferenbetween the yielto-maturity on the new bonanthe benchmark rate. The yielspreis the aitioncompensation requireinvestors for the fferenin the cret risk, liquity risk, antstatus of the bonrelative to the government bon In matrix pricing, the market scount rates of comparable bon anthe yielto-maturity on a government bonhaving a similtime-to-maturity are not estimate Rather they are known anuseto estimate the requireyielspreof a new bon老师,这题如果给答案 requireyielof the bon不是也是对的?

2020-10-12 10:13 3 · 回答

    A是说确定spreB是圈定YTM 。YTM=benchmark+spreabenchMark知道的情况下,知道A就知道B,知道B也知道A,这两个什么区别呢?

2018-11-19 16:41 3 · 回答

    你好,没有看懂这道题目的考点是什么,是不是遇到matrix pricing就选sprea可以了,有点迷。。。 

2018-11-14 15:56 1 · 回答