NO.PZ201812020100001101
问题如下:
A benefit of Easton’s preferred credit spread measure is that it:
选项:
A. provides a good measure of credit spread for bonds with optionality.
B. uses swap rates denominated in the same currency as the credit security.
C. reduces the potential for duration mismatch.
解释:
C is correct.
The G-spread is the spread over an actual or interpolated benchmark (usually government) bond. A benefit of the G-spread is that when the duration of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average duration matches the credit security’s duration.
可以解释一下选项b和c吗?谢谢