NO.PZ201701230200000606
问题如下：
6. Based on basis trade for Tollunt Corporation, if convergence occurs in the bond and CDS markets, the trade will capture a profit closest to:
选项：
A. 0.25%.
B. 1.75%.
C. 2.75%.
解释：
A is correct.
A difference in credit spreads in the bond market and CDS market is the foundation of the basis trade strategy. If the spread is higher in the bond market than the CDS market, it is said to be a negative basis. In this case, the bond credit spread is currently 4.50% (bond yield minus Libor) and the comparable CDS contract has a credit spread of 4.25%. The credit risk is cheap in the CDS market relative to the bond market. Since the protection and the bond were both purchased, if convergence occurs, the trade will capture the 0.25% differential in the two markets (4.50% - 4.25%).
B is incorrect because the bond market implies a 4.50% credit risk premium (bond yield minus Libor) and the CDS market implies a 4.25% credit risk premium. Convergence of the bond market credit risk premium and the CDS credit risk premium would result in capturing the differential,0.25%. The 1.75% is derived by incorrectly subtracting Libor from the credit spread on the CDS (= 4.25% - 2.50%).
C is incorrect because convergence of the bond market credit risk premium and the CDS credit risk premium would result in capturing the differential,0.25%. The 2.75% is derived incorrectly by subtracting the credit spread on the CDS from the current bond yield (= 7.00% - 4.25%).
老师请问计算profit这里为什么不用乘Duration