he123456 · 2022年06月22日
NO.PZ2020011303000202
问题如下：
The three-year spot rate is 4% (semi-annually compounded). An investor buys a three year zero-coupon bond for 87.0. What is the spread?
解释：
Suppose that the spread is s. We need to solve
87=100/(1+0.04/2+S/2)6
so that: 1+0.02+S/2=(100/87)1/6=1.0235
The spread is
0.0070 or 70 basis points.
为什么不能直接按年化去求折现率，然后再相减得出spread
NO.PZ2020011303000202问题如下The three-yespot rate is 4% (semi-annually compoun. investor buys a three yezero-coupon bonfor 87.0. Whis the sprea 题目问三年的spot rate是4%（半年付息一次），投资者买了一个三年的零息债券87，求sprea多少？87=100/(1+0.04/2+S/2)6so that: 1+0.02+S/2=(100/87)1/6=1.0235The spreis0.0070 or 70 basis points. 老师，我这么算可以吗？N=6，PV=-87，FV=100，PMT=0，计算I/Y=2.348%，年化是4.696%，减去4%，sprea0.696%，也是0.007
NO.PZ2020011303000202问题如下The three-yespot rate is 4% (semi-annually compoun. investor buys a three yezero-coupon bonfor 87.0. Whis the sprea 题目问三年的spot rate是4%（半年付息一次），投资者买了一个三年的零息债券87，求sprea多少？87=100/(1+0.04/2+S/2)6so that: 1+0.02+S/2=(100/87)1/6=1.0235The spreis0.0070 or 70 basis points. 就是我求出零息债的利率是4.7515% 然后有了之前的ytm 可以把之前的ytm统一到一年付息一次 就是4.04% 相减等于0.007115 跟答案有一点点差距 这样计算是对的吗
