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moon · 2022年02月10日

这个公式没啥印象，是考的什么知识点？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001601

问题如下：

What is the approximate excess return if the BBB rated bond is held for six months and the credit spread narrows by 40 bps, ignoring spread duration changes and assuming no default losses?

选项：

A.

3.775%

B.

2.35%

C.

2.40%

解释：

A is correct.

Recall that ExcessSpread ≈ (Spread0/Periods Per Year) – (EffSpreadDur × ∆Spread), so we combine the 6-month return with the spread duration–based price change estimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)).

ExcessSpread ≈ (Spread0/Periods Per Year) – (EffSpreadDur × ∆Spread), 


这个公式没啥印象，是考的什么知识点？

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1 个答案

pzqa015 · 2022年02月10日

嗨，努力学习的PZer你好：


这里考察的是excess spread的计算，是一个非常重要的考点。


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