开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

yewei1989 · 2022年03月26日

解析答案

* 问题详情,请 查看题干

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?

1 个答案

pzqa015 · 2022年03月27日

嗨,努力学习的PZer你好:


对最后一句话错了 应该是0.65%,前面的解题过程没问题。

----------------------------------------------
努力的时光都是限量版,加油!