NO.PZ2024050101000056
问题如下：
Pinzhi’ s 5-year, 5.7% coupon bond is rated AA. The annual CDS spread on a 5- year bond is 3.5%. The swap spread is flat at 25 bps, while the swap fixed rate is 3% for 2 years and 4% for 5 years. To prevent arbitrage, Pinzhi’ s bond should most likely yield:
选项：
A.9.20%
B.9.70%
C.7.50%
D.9.00%
解释：
Arbitrage-free conditions indicate that: CDS-bond basis = CDS spread – bond yield spread = 0
Thus, CDS spread = bond yield spread = 3.5% (given). Bond yield spread = bond yield – swap fixed rate 3.5% = bond yield – 4% (make sure to use the 5-year swap fixed rate) Therefore, the bond yield = 9.2%
如题
