问题如下图：
选项：
A. 
B. 
C. 
解释：
答案解释逻辑有点没看懂，我是用7-4.25-2.5算出来的，但是答案解释跟我不一样？请帮我捋一下，谢谢❤️
包包_品职助教 · 2019年03月05日
同学你好，对于basis trade strategy，套利的原理是：对于bond来说，如果合理定价的话，bond和Libor的credit spread 应该等于CDS 的credit spread，即使短期不等于，说明其中一个定价不合理，长期是会趋同的。再不等于的时候，我们就可以套利。比如题目中，我们可以买入bond，再买入CDS,这样就相当于建立了一个无风险的头寸，如果后续这两个价格趋同，我们就可以卖出bond，再卖出CDS,此时我们如果假设之前的CDS的credit spread 4.25%定价过低，现在spread 增加到了4.5%，我们卖出CDS就可以收到一个更高的保费，减去我们付出的一个较低的保费，就可以赚取利差0.25%。
NO.PZ201701230200000606 1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).老师请问计算profit这里为什么不用乘ration
老师, cret spre的benchmark不用risk free 的treasury bon， 是因为LIBOR包括了经济宏观风险，而C保险买的只是保公司自己的信用风险，大环境下的风险不给保是么？
1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).用债券市场sprea去C市场sprea以理解，按照公式profit for protection buyer应该再乘以ration啊！为什么这里不乘？
这里为什么用ytm减去libor就等于cret sprea