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金融民工阿聪 · 2021年04月19日

IRR算出来就是YTM吗？

NO.PZ2019011002000008

问题如下：

Bond B is a 5-year corporate bond with a fixed coupon rate of 7%. The coupon is paid annually. The bond is rated at AA.

Assume the fair value of the bond is 1098.14. The bond’s value assuming no default (VND) is 1187.22.

Li, a credit analyst in a wealth management firm, wants to know the credit spread of Bond B over a theoretical comparable-maturity government bond with the same coupon rate as this bond.

According to the information above, the credit spread is closest to:

选项：

A.

1.78%

B.

1.83%

C.

2.55%

解释：

B is correct.

考点：计算Credit spread

解析：

已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:

${l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14$

反求出来的YTM为4.75%。

而有题干信息The bond’s value assuming no default (VND) is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM：

${l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22$

经过计算YTM为：2.92%

则Credit spread为：4.75% - 2.92% = 1.83%

IRR这个方法就是专门用来算YTM的是吗？

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WallE_品职答疑助手 · 2021年04月19日

嗨，努力学习的PZer你好：

这不是求IRR，IRR是让NPV等于0的时候求的折现率。这里单纯的就是用计算器的PV, N, FV, PMT求I/Y

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加油吧，让我们一起遇见更好的自己！

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