问题如下:
A two-year on-the-run US Treasury bond is yielding 3.5%. The swap spread is quoted at 80 bps for the 2-year interest rate swap. The rate paid by the fixed payer in a two-year interest rate swap is closest to:
选项:
A.4.3%
B.1.50%
C.2.50%
解释:
A is correct.
考点:Swap spread概念
解析:已知两年期的国债收益率,且知道Quoted swap spread,则2年期固定换浮动互换的Swap rate等于2年期国债利率加上Swap spread:3.5 % + 0.8 % = 4.3 % 。
老师请问,这里是不是在求Swap Rate? 因为Swap Spread=Swap Rate-Treasury Yield