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Ausilio · 2024年05月22日

关于持有期六个月的问题

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001601

问题如下：

What is the approximate excess return if the BBB rated bond is held for six months and the credit spread narrows by 40 bps, ignoring spread duration changes and assuming no default losses?

选项：

A.

3.775%

B.

2.35%

C.

2.40%

解释：

A is correct.

Recall that ExcessSpread ≈ (Spread0/Periods Per Year) – (EffSpreadDur × ∆Spread), so we combine the 6-month return with the spread duration–based price change estimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)).

老师好，关于这道题计算excess spread的公式，将以写的不是年化公式么，所以持有六个月确实应该除以二，但是我看答案里除以二只作用在了2.75%上？

为什么不是：

（2.75%-（6*-0.4%））/2

这么算的呢？

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已采纳答案

pzqa31 · 2024年05月23日

嗨，从没放弃的小努力你好：


spread变动是一个变量，或者说流量，所以不需要年化，年化spread的变动，没有意义。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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