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天天天儿 · 2022年03月22日

G-SPREAD不是Ycorp-Ygovern吗?

* 问题详情,请 查看题干

NO.PZ202112010200001401

问题如下:

Calculate the G-spread of the corporate bond.

选项:

A.

0.860%

B.

0.725%

C.

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?

1 个答案

pzqa015 · 2022年03月22日

嗨,努力学习的PZer你好:


因为Gspread要求corporate bond与government bond要maturity match,所以要用插值法来找到与corporate bond maturity一致的government bond 的收益率。

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努力的时光都是限量版,加油!