NO.PZ202112010200001402
问题如下:
Calculate the I-spread of the corporate bond.
选项:
A.
0.85%
B.
0.65%
C.
0.95%
解释:
B is correct. The I-spread is an estimate of thecorporate bond’s spread over an interpolated swap benchmark. We can solve for the 10-year and20-year swap rates as 2.05% (=0.20% + 1.85%) and2.55% (=0.25% + 2.30%), respectively, by addingthe swap spread to the respective government bond.
The 12-year swap rate is 2.15% (or (80% × 2.05%) + (20% × 2.55%)), and thedifference between the corporate bond YTM andthe 12-year interpolated government rate is 0.80%.
最后的结果有问题,应该是0.65吧?