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

Zunniyaki · 2022年11月28日

关于Z-DM和DM的区别

NO.PZ2021120102000015

问题如下:

Which of the following statements about credit spread measures is most accurate?

选项:

A.

The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释:

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

Z-DM和DM的区别可以简单理解为前者考虑到了MRR的变化,而后者是假设MRR不变么?对于DM来说,由于假设MRR不变,所以floating note的price变化是通过DM的变化来实现的,但是对于Z-DM来说,由于假设MRR是变化的,所以Z-DM是constant的。不知道这样的理解正确吗?

2 个答案

pzqa015 · 2023年01月14日

嗨,爱思考的PZer你好:


是的

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2022年11月28日

嗨,努力学习的PZer你好:


Z-DM和DM的区别可以简单理解为前者考虑到了MRR的变化,而后者是假设MRR不变么?

----

前者考虑了不同期限MRR的不同,就类似spot rate,折现求价格的公式中,一条曲线上s1、s2、s3...sn的数值不一定相同,MRR1,MRR2....MRRn的数值也不一定相同,Z-DM是加在MRR1...MRRn上的一个constant值。

DM没有考虑不同期限MRR的不同,或者说认为MRR不变,就类似ytm,折现求价格的公式中,ytm是恒定的,DM是加在这个恒定的MRR上的constant值。

对于DM来说,由于假设MRR不变,所以floating note的price变化是通过DM的变化来实现的

---

是的,float price的变化,是通过信用状况变化,进而DM变化来实现的。


但是对于Z-DM来说,由于假设MRR是变化的,所以Z-DM是constant的。不知道这样的理解正确吗?

---

ZDM和DM都是常数,但这个常数指的是加在各期MRR上的固定值,而不是说它在债券存续期内不改变,如果信用状况变化,ZDM和DM也都会变化,进而影响到债券价格。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

cccharlene · 2023年01月14日

For B, if the MRR is expected to remain constant over time, the Z-DM will be the same as DM? 对应的知识点是:Considering the forward MRR, if the yield curve is upward-sloping, the calculated Z-DM will be lower than the DM.

  • 2

    回答
  • 3

    关注
  • 1063

    浏览
相关问题

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 能一下A不对的原因么

2024-08-11 11:42 1 · 回答

NO.PZ2021120102000015问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk.B.The Z- will above the if the MRR is expecteto remain constant over time.C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 答案里关于C的说明不是特别理解,能再一下吗

2024-07-09 23:48 1 · 回答

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. https://class.pzacamy.com/qa/148134 这是助教老师今年的解答https://class.pzacamy.com/qa/98509 这是老师2022年的解答(•_•)?

2024-06-16 03:33 1 · 回答

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 这道题A哪里错了

2024-01-12 16:32 2 · 回答

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 请A和B

2024-01-11 23:20 1 · 回答