NO.PZ2016082406000062
问题如下：
A six-year CDS on a AA-rated issuer is offered at 150bp with semiannual payments while the yield on a six-year annual coupon bond of this issuer is 8%. There is no counterparty risk on the CDS. The annualized LIBOR rate paid every six months is 4.6% for all maturities. Which strategy would exploit the arbitrage opportunity? How much would your return exceed LIBOR?
选项： Buy
the bond and the CDS with a risk-free gain of 1.9%.
Buy the bond and the CDS with a risk-free gain of 0.32%.
C.Short the bond and sell CDS protection with a risk-free gain of 4.97%.
D.There is no arbitrage opportunity as any apparent risk-free profit is necessarily compensation for being exposed to the credit risk of the issuer.
解释：
ANSWER: A
Because LIBOR is flat, the fixed-coupon yield is also 4.6%, creating a spread of on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of .
之前老师的介绍是：这题的本义其实就是bond的公允收益率应该是libor+CDS spread，也就是4.6%+1.5%=6.1%
而实际bond的收益率居然达到了8%，所以bond卖得便宜，这时候就应该买bond。
那么为了获得一个和libor风险一样的收益，买bond获得8%，又要买CDS来减小风险，支出1.5%，也就是会huodo获得8%-1.5%=6.5%的收益。比libor多出来6.5%-4.6%=1.9%
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我理解，应该是半年一期，那么libor + CDS spread的收益率在半年内是 4.6%+1.5%=6.1%，
但是bond的coupon是8%，那么半年的收益率 应该是4%。
这里年化、半年一期之类的把人搞困惑了，求指导。
