NO.PZ2018123101000027
问题如下:
Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.
Smith buys a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields. Smith should show a total return closest to:
选项:
A. 4.31%.
B. 5.42%.
C. 6.53%.
解释:
C is correct.
考点:考察Riding the yield curve策略
解析:由题干已知,Swap rate来代替公司债的收益率;四年期的Swap spread息差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swap rate = 4.05% + 0.70% = 4.75%。
因此,购买的4年期零息债券的价格为:
两年期的公司债收益率为2年期的Swap rate, swap rate = 2.70% +0.30% = 3%,
4年期的零息债券持有2年后的卖出价格为:
则这笔投资的年化总收益为:
题目中并未说yield curve在未来保持不变啊,那怎么能用现在0时刻的2年期折现率,去计算2年后的价格,不是应该用2年末的future spot rate去计算价格吗?