NO.PZ2023052301000030
问题如下：
An analyst is analyzing a three-year, 2.25% annual coupon bond issued by QWE Company. Currently, the bond’s yield-to-maturity is 2.707%. The three-year swap rate is 1.840%. The government spot rates are presented in the table.
If the price of the QWE bond is 98.70% of par, its Z-spread (in basis points) is closest to:
选项：
A.80.
B.82.
C.87.
解释：
B is correct. To calculate the Z-spread, we must solve for Z in the following equation, given the spot rates and price of the bond:
The Solver add-in for Microsoft Excel finds Z = 0.0082, or 82 bps, by setting the price (sum of present values of cash flows) equal to 98.70 as the objective and Z as the change variable. Please refer to the candidate learning ecosystem online for a spreadsheet demonstrating the calculation.
A is incorrect because 80 bps is the value of the G-spread, not the Z-spread. The G-spread is calculated as the difference between the QWE bond yield and the yield of the government bond with the same maturity:
G-spread = 2.707% – 1.904% = 80 bps.
C is incorrect because 87 bps is the I-spread, not the Z-spread. The I-spread is calculated as a yield spread of a bond over the standard swap rate in the same currency and with the same tenor. The yield-to-maturity for the corporate bond is 2.707%, and the swap rate for the same maturity is 1.840%.
I-spread = 2.707% – 1.840% = 87 bps.
第一个2.25的分母是1.01719，第二个2.25的分母是1.0208的平方，第三个102.5的分母是1.02724的三次方。不知道哪里错了。。
