紫同學
2018-03-16 22:2343. A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve: Time-to-Maturity Spot Rate 1 year 4.86% 2 years 4.95% 3 years 5.65% The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closest to: A. 92.38. B. 98.35. C. 106.56. 麻煩老師講一下，Z-spread這個知識點，視頻講得比較簡略。謝謝。
所屬：CFA Level I 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Paul助教
2018-03-19 09:59
該回答已被題主采納
同學你好，z-spread表示的是該債券收益率與整個benchmark 的即期利率（spot rate）的差額，且保持不變。同學你可以參照下固定收益課程課件reading 53的倒數(shù)第二張圖，圖片可以看出什么是z-spread，和其他spread的區(qū)別。所以答案每一期的利率也是用對應spot rate加上了z-spread來計算。
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