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临江仙 · 2021年04月07日

这题看了答案都不会做

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000073

问题如下：

A three-year credit-linked note (CLN) with underlying company Z has a LIBOR+60bp semiannual coupon. The face value of the CLN is USD 100. LIBOR is 5% for all maturities. The current three-year CDS spread for company Z is 90bp. The fair value of the CLN is closest to

选项：

A.

USD 100.00

B.

USD 111.05

C.

USD 101.65

D.

USD 99.19

解释：

ANSWER: D

Because the current CDS spread is greater than the coupon, the CLN must be selling at a discount. The only solution is d. More precisely, we can use the spread duration from Equation: V=(PV Payoff)−s(PV Spread)=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Spread})={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}, which is the sum of the present value factor over three years. Assuming a flat term structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72 years. Multiplying by (90-60) = 30bp gives a fall of 0.81%,which gives $99.19.

这题到底要怎么做？完全无法理解，请老师讲的更基础些。

我看之前老师说将CLN当作一个bond，coupon就是5.6%，但是cds spread是5.9%。

然后我就不知道怎么做了

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小刘_品职助教 · 2021年04月07日

同学你好，

这题把CLN当成一个bond，他的票息是5.6%（has a LIBOR+60bp semiannual coupon，5%+0.6%=5.6%），半年付息一次。

5.9%是说实际的利率是The current three-year CDS spread for company Z is 90bp.，就是5.9%

所以这道题就相当于一个票息为5.6%的债券，现在市场利率变成了5.9%，问现在他的定价应该是多少，直接按计算器就行了，N=6 PMT=2.8 I/Y=2.95，FV=100，反求PV=99.19

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NO.PZ2016082406000073 A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 就是答案说应该拿来折现的利率应该是C的利率，这是为啥呢。 .用来折现的利率不是应该拿市场利率也就是Libor的利率吗，即5%。为什么要用C一个金融产品的利率（而非市场利率）来折现呢。

2021-03-13 22:00 1 · 回答

A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 老师第二个思路，不是很看得懂，感觉上他的思路是用C定价推到出来的价格，为什么直接求ration 在乘以 sprea差，没感觉出来这一步和公式有什么关系

2020-10-19 15:24 1 · 回答

没看懂题干，能一下吗

2020-08-16 18:24 1 · 回答

A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 请问为什么C比coupon大，CLN就是折价的，谢谢

2020-04-04 11:49 1 · 回答