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西红柿面 · 2024年04月10日

国债的收益率

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NO.PZ201812310200000109

问题如下:

 Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:

选项:

A.

108 bps.

B.

101 bps.

C.

225 bps.

解释:

A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24 The YTM can be obtained by solving the following equation for IRR:

1101.24= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

The solution to this equation is 3.26%.

Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:

1144.63= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is 3.26% – 2.18% = 1.08%, or 108 bps.

B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.

C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.

 这里是因为说了利率是有波动的,所以应该用VND来求收益率?如果说assumptions that there is no interest rate volatility and that the government bond yield curve is flat at 3%.那么就用3%做YTM就行?

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已采纳答案

吴昊_品职助教 · 2024年04月10日

嗨,从没放弃的小努力你好:


题干二叉树下方有一行小字,1-4小题基于的是MK的假设,8-12小题基于DI的假设。government yield curve 3%属于的是MK的假设,不能用。

基于DI的假设,benchmark需要相同期限,相同的coupon rate(6%)。所以我们只能用先前算出来的VND(1144.63)作为value反求出YTMg,从而再算出spread。

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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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