nmj1 · 2025年06月15日

这一题完整的计算过程是？

1. CFA III
2. Fixed Income

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NO.PZ202303270300006603

问题如下：

(3) Calculate the ASW of the corporate bond.

选项：

A.

0.65%

B.

0.95%

C.

0.85%

解释：

C is correct. The ASW is an estimate of the spread over MRR versus the bond’s original coupon rate to maturity, which is equal to the difference between the corporate bond coupon of 3.00% and the 12-year swap rate of 2.15%, or 0.85%.

这一题完整的计算过程是？