问题如下:
4. The bond in Investment 3 is most likely trading at a price of:
选项:
A.100.97.
B.101.54.
C.104.09.
解释:
B is correct.
The Z-spread is the constant basis point spread that is added to the default-free spot curve to price a risky bond. A Z-spread of 65 bps for a particular bond would imply adding a fixed spread of 65 bps to maturities along the spot curve to correctly price the bond. Therefore, for the two-year bond, r(1) = 2.90% (i.e., 2.25% + 0.65%), r(2)= 3.35% (i.e., 2.70% + 0.65%), and the price of the bond with an annual coupon of 4.15% is as follows:
P = 4.15/(1 +0. 029)1 + 4.15/(1 + 0.0335)2 + 100/(1 + 0.0335)2,
P = 101.54.
swap spread和Z-spread不会同时存在?