NO.PZ202112010200001401
问题如下:
Calculate the G-spread of the corporate bond.
选项:
A.0.860%
0.725%
0.950%
解释:
A is correct. The G-spread is the difference between the corporate bond YTM and a linear interpolation of the 10-year and 20-year government bond YTMs.
To calculate the approximate 12-year government rate,
solve for the weights of the 10-year bond as 80% (= (20 – 12)/(20 – 10)) and the
20-year bond as 20% (or (1 – 80%), noting that
(80% × 10) + (20% × 20) = 12).
The 12-year government rate is 1.94% (or (80% × 1.85%) + (20% × 2.30%)), and the difference between the corporate bond YTM and the 12-year interpolated government rate is 0.860%.
为什么用线性插值法了?