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Phoebe · 2021年06月29日

什么时候加spread 什么时候不加？

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000025

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.

If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662

B.

0.9694

C.

0.9780

解释：

B is correct.

考点：考察Forward price概念

解析：由公式可求

P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)

P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}

P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}

F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694

怎么判断是否要用spread？

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1 个答案

WallE_品职答疑助手 · 2021年06月29日

嗨，爱思考的PZer你好：


swap spread含有信用风险，公司才会有信用风险。这里题目要您求goverment bond的forward price。政府债是无风险的，所以不用加上spread。

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加油吧，让我们一起遇见更好的自己！

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