NO.PZ2018062006000093
问题如下：
Crew Andserson, CFA, wants to analysis the Z-spread for a 3-year corporate bond, and the bond has a coupon rate of 8%. Assume the coupon is paid annually. The current spot rates are S1=3.26%, S2=3.86%, S3=4.25%. The price of the corporate bond is $106.17, what`s the Z-spread?
选项：
A.150 bps
B.50bps
C.120 bps
解释：
A is correct.
The z-spread is the constant spread that is added to each spot rate, and the combined rates make the price of a security equal to the present value of its cash flows.
Bond price=8/(1+3.26%+1.5%)+8/(1+3.86%+1.5%)2+108/(1+4.25%+1.5%)3=106.17
So Z-spread=150 bps
不是说不出计算吗 到底怎么着？
