石欣灵 · 2023年04月08日

求I spread

1. CFA III
2. Fixed Income

请问老师，这道题解题思路是这样么？

1. Swap rate=Swap spread + YG, that is 10year Swap rate=1.85%+0.2%=2.05%; 20year=2.3%+0.25%=2.55%
2. Interpolation: W1*10+(1-W1)*20=12, W1=0.8; the swap rate of 12year is 0.8*1.85%+0.2*2.3%=2.15%
3. I spread=corporate bond YTM-swap rate=3%-2.15%=0.85
4. choose A?