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Marina_0122 · 2020年03月16日

问一道题:NO.PZ201701230200000204

* 问题详情,请 查看题干

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?

1 个答案

吴昊_品职助教 · 2020年03月17日

Z-spread和swap spread是两个不同的溢价。由于在investment 3中,我们要求加上的溢价是Z-spread,自然就和swap spread没有关系了。