线性插值法怎么用相似三角形算？

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NO.PZ202112010200001401

问题如下：

Calculate the G-spread of the corporate bond.

选项：

0.860%

0.725%

0.950%

解释：

A is correct. The G-spread is the difference between the corporate bond YTM and a linear interpolation of the 10-year and 20-year government bond YTMs.

To calculate the approximate 12-year government rate, solve for the weights of the 10-year bond as 80% (= (20 – 12)/(20 – 10)) and the 20-year bond as 20% (or (1 – 80%), noting that (80% × 10) + (20% × 20) = 12).

The 12-year government rate is 1.94% (or (80% × 1.85%) + (20% × 2.30%)), and the difference between the corporate bond YTM and the 12-year interpolated government rate is 0.860%.

线性插值法怎么算

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1 个答案

pzqa31 · 2023年11月27日

嗨，从没放弃的小努力你好：

linear interpolation代表的是线性插值法，这个方法类似于相似三角形，比如利率是5%的时候对应价格是60，利率是6%的时候对应价格是50，问利率是5.3%时候对应价格是多少？5.3%到5%的距离占5%到6%的3/10。那也就是60往50出发走了3/10，也就是60-3/10×(60-50)=57。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202112010200001401问题如下 Calculate the G-spreof the corporate bon A.0.860% B.0.725% C.0.950% A is correct. The G-spreis the fferenbetweenthe corporate bonYTM ana lineinterpolation of the 10-yean20-yeargovernment bonYTMs.To calculate the approximate 12-yegovernment rate,solve for the weights of the 10-yebon80% (= (20 – 12)/(20 – 10)) anthe20-yebon20% (or (1 – 80%), noting that(80% × 10) + (20% × 20) = 12). The 12-yegovernment rate is 1.94% (or (80% × 1.85%)+ (20% × 2.30%)), anthe fferenbetween the corporate bonYTM anthe12-yeinterpolategovernment rate is 0.860%. 为什么用线性插值法了？

2022-03-22 21:46 1 · 回答