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Caroline123456 · 2024年01月31日

这个题swap spread是没有用的吗？

NO.PZ2018123101000025

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662

B.

0.9694

C.

0.9780

解释：

B is correct.

考点：考察Forward price概念

解析：由公式可求

$P(T^\ast+T)=P(T^\ast)F(T^\ast,T)$

$P(1)=\frac1{{(1+0.0225)}^1}$

$P(2)=\frac1{{(1+0.0270)}^2}$

$F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694$

这个题swap spread是没有用的吗？

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pzqa31 · 2024年02月01日

嗨，从没放弃的小努力你好：

对的，swap spread含有信用风险，公司才会有信用风险。这里题目要求的是goverment bond的forward price。政府债是无风险的，所以不用加上spread。

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