swap rate是怎么得到的

问题如下：

Buy a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields. He should show an annual return closest to:

选项：

4.31%

5.42%

6.53%

解释：

Correct Answer: C

The swap spread is a common way to indicate credit spreads in a market. The four-year swap rate (fixed leg of an interest rate swap) can be used as an indication of the four-year corporate yield. Riding the yield curve by purchasing a four-year zero-coupon bond with a yield of 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)^4 =83.058]} and then selling it when it becomes a two-year zero-coupon bond with a yield of 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)^2 = 94.260]} produces an annual return of 6.53%: (94.260/83.058)^0.5 – 1.0 = 0.0653.