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梦梦 · 2024年08月27日

为什么spread are applied to frorward rate?

NO.PZ2023091701000022

问题如下:

A bond fund manager has requested quotes from a bond dealer on two bonds, Bond X and Bond Y, with the same maturity date and coupon rate. The dealer informs the manager that Bond X trades at a spread of 30 bps over the Treasury market, while Bond Y trades at a spread of 70 bps. Which of the following statements is a correct conclusion for the manager to make?

选项:

A.Bond X earns a lower return than that of the comparable Treasury bond, since its spread serves to increase the discount rate of its cash flows.

B.The price of Bond X is currently higher than the price of Bond Y.

C.To equate the present value of Bond Y’s cash flows to its face value, 70 bps would need to be added to the yield to maturity of a Treasury bond with comparable maturity.

D.The spread differential indicates that there is a 0.4% difference in price between Bond X and Bond Y.

解释:

B is correct. Spread is a measure of the excess return earned on a bond over the return provided by a reference security or securities (e.g. Treasury securities). Because the cash flows offered by the reference security are discounted by the appropriate forward rates, adding a spread to these rates serves to decrease the corresponding discount factors. The larger the spread, the greater the decrease in the discount factors, therefore the lower the bond price. Thus, the price of Bond Y (with its 70 bps spread) is lower than the price of Bond X (with its 30 bps spread).

A is incorrect. As mentioned above, spreads can be interpreted as the excess return earned over the return provided by the comparable reference security. Bond X’s positive spread indicates a higher return than the Treasury bond.

C is incorrect. Spreads are applied to the forward rate curve of the reference security, not its yield to maturity.

D is incorrect. This is not a valid application of spreads.

老师,在视频讲解时提到了G-spread(nominal spread)和Z-spread,但是没有提到forward rate,所以为什么spread are applied to the forward curve啊

2 个答案

pzqa27 · 2024年09月18日

嗨,努力学习的PZer你好:


这里可以是加在forward rate上,也可以是加在spot rate 上,这个只是折现方式的不同而已,但是不论加在哪个上,这个 spread 是不会加在YTM上的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

梦梦 · 2024年09月18日

哦,好的,谢谢

pzqa27 · 2024年08月28日

嗨,爱思考的PZer你好:


C选项的意思是说,如果我们要让bond Y的的PV和它的FV相等,那么使用的折现率就是具有相同到日的treasure bond的ytm加上70个bp的spread。比如Y是个3年的债券,我们就用3年期国债的ytm+70bp作为折现率,就可以让Y的PV=FV。这个是不对的,要让PV=FV,我们需要做的是coupon rate = ytm, C选项并没有给出相应的coupon rate,所以是不对的。


至于解析想要表达的意思是说,题目给出的spread应该是加在forward rate 上,而不应该是加在YTM上。所以C选项的调整ytm的做法也是不对的

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

梦梦 · 2024年09月16日

为什么题目给出的spread应该是加在forward rate 上

梦梦 · 2024年11月11日

翻了一下知识框架图,spread有三个概念,其中一个是nominal spread,这个就是用公司债YTM和国债YTM的差啊,这不就是加在YTM伤的spread吗?

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