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我叫仙人涨 · 2020年04月05日

问一道题:NO.PZ201701230200000606

* 问题详情,请 查看题干

问题如下:

6. Based on basis trade for Tollunt Corporation, if convergence occurs in the bond and CDS markets, the trade will capture a profit closest to:

选项:

A.

0.25%.

B.

1.75%.

C.

2.75%.

解释:

A is correct.

A difference in credit spreads in the bond market and CDS market is the foundation of the basis trade strategy. If the spread is higher in the bond market than the CDS market, it is said to be a negative basis. In this case, the bond credit spread is currently 4.50% (bond yield minus Libor) and the comparable CDS contract has a credit spread of 4.25%. The credit risk is cheap in the CDS market relative to the bond market. Since the protection and the bond were both purchased, if convergence occurs, the trade will capture the 0.25% differential in the two markets (4.50% - 4.25%).

B is incorrect because the bond market implies a 4.50% credit risk premium (bond yield minus Libor) and the CDS market implies a 4.25% credit risk premium. Convergence of the bond market credit risk premium and the CDS credit risk premium would result in capturing the differential,0.25%. The 1.75% is derived by incorrectly subtracting Libor from the credit spread on the CDS (= 4.25% - 2.50%).

C is incorrect because convergence of the bond market credit risk premium and the CDS credit risk premium would result in capturing the differential,0.25%. The 2.75% is derived incorrectly by subtracting the credit spread on the CDS from the current bond yield (= 7.00% - 4.25%).

老师, credit spread 的benchmark不用risk free 的treasury bond , 是因为LIBOR包括了经济宏观风险,而CDS保险买的只是保公司自己的信用风险,大环境下的风险不给保是么?

1 个答案

WallE_品职答疑助手 · 2020年04月07日

题目里面没给你rf,所以你的对比只能是浮动的libor(题目给的),基础班讲义P296,给的就是固定利率。你不要想太复杂,你得用题目中给你的条件。

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NO.PZ201701230200000606 1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).老师请问计算profit这里为什么不用乘ration

2021-05-18 21:33 1 · 回答

1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).用债券市场sprea去C市场sprea以理解,按照公式profit for protection buyer应该再乘以ration啊!为什么这里不乘?

2020-04-03 09:33 1 · 回答

这里为什么用ytm减去libor就等于cret sprea

2019-06-10 19:45 1 · 回答

答案逻辑有点没看懂,我是用7-4.25-2.5算出来的,但是答案跟我不一样?请帮我捋一下,谢谢❤️

2019-03-03 15:39 1 · 回答