NO.PZ202112010200001402
问题如下：
Calculate the I-spread of the corporate bond.
选项：
A.0.85%
0.65%
0.95%
解释：
B is correct. The I-spread is an estimate of the corporate bond’s spread over an interpolated swap benchmark. We can solve for the 10-year and 20-year swap rates as 2.05% (=0.20% + 1.85%) and 2.55% (=0.25% + 2.30%), respectively, by adding the swap spread to the respective government bond.
The 12-year swap rate is 2.15% (or (80% × 2.05%) + (20% × 2.55%)), and the difference between the corporate bond YTM and the 12-year interpolated government rate is 0.80%.
题目已知The portfolio manager also observes 10-year and 20-year swap spreads of 0.20% and 0.25%, respectively.
为什么不能直接用0.8*0.2%+0.2*0.25%算出来I spread呢？
