开发者:上海品职教育科技有限公司隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

学习体验
App下载
手机上的品职教育

随时随地学习课程，支持音视频下载！
- 扫码下载品职教育APP
进入课程
登录 | 注册

qboo · 2021年05月05日

做题的时候用ytm有点心虚

NO.PZ2019011002000008

问题如下：

Bond B is a 5-year corporate bond with a fixed coupon rate of 7%. The coupon is paid annually. The bond is rated at AA.

Assume the fair value of the bond is 1098.14. The bond’s value assuming no default (VND) is 1187.22.

Li, a credit analyst in a wealth management firm, wants to know the credit spread of Bond B over a theoretical comparable-maturity government bond with the same coupon rate as this bond.

According to the information above, the credit spread is closest to:

选项：

A.

1.78%

B.

1.83%

C.

2.55%

解释：

B is correct.

考点：计算Credit spread

解析：

已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:

${l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14$

反求出来的YTM为4.75%。

而有题干信息The bond’s value assuming no default (VND) is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM：

${l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22$

经过计算YTM为：2.92%

则Credit spread为：4.75% - 2.92% = 1.83%

做题的时候用ytm有点心虚，在想如果国债收益率曲线不是平的怎么办，应该和这个题没关系吧。是我对spread的定义理解不深

添加评论

0
0

1 个答案

WallE_品职答疑助手 · 2021年05月05日

嗨，努力学习的PZer你好：

这一题YTM是反求出来的，不是让您用YTM折现求Value，所以不用虚。折现的话当然是用spot rate为首选，没有的话用par rate去推，最后在用YTM。

这里反求一个YTM，相当于是求一个债券的到期持有收益率，通过这个收益率的不同来求一个credit spread。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

0
0

1
回答
0
关注
433
浏览

我要回答关注问题

相关问题

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% N=5，PV=-1098.14，PMT=70，FV=1000 得到I/Y=4.6666N=5，PV=-1187.22，PMT=70，FV=1000 得到I/Y=2.8897算出来是4.6666-2.8897=1.78% 不是1.83%

2024-04-30 21:14 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 老师，这里在求CS时，1）为什么PV是负号啊？ PV和FV有一个是负号不可以么？2）为什么最后FV=1000 ？？3）这类题目，站在一个什么角度上，是投资者还是为发行人？

2023-08-14 18:58 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% “可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM” 答案中的这句话不太理解，为什么无风险利率折现出来的价值就是国债的价格？

2022-09-12 23:04 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 老师想问一下，这道题中计算两个I/Y 时，分别输入的PV（负号）和FV PV（正号），符号方向是怎么判断出来的啊，一般输入计算器中的PV与PMT不是正负号相一致吗

2022-07-14 10:40 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70+(1+YTM)270+(1+YTM)370+(1+YTM)470+(1+YTM)51070=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM70/(1+YTM)+70/(1+YTM)2+70/(1+YTM)3+70/(1+YTM)4+(1000+70)/(1+YTM)5=1098.14N=5 PMT=70 FV=-1000 PV=1098.14 求出I/Y=-8.4922而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM70/(1+YTM)+70/(1+YTM)2+70/(1+YTM)3+70/(1+YTM)4+(1000+70)/(1+YTM)5=1187.22N=5 PMT=70 FV=-1000 PV=1187.22 求出I/Y=-9.7260经过计算YTM为2.92%Cret spre= 公司债的YTM- 国债的YTM= -8.4922%-(-9.7260) = 1.2338%

2022-05-17 21:39 1 · 回答