雞同學(xué)
2021-04-25 02:47這道題最后計(jì)算credit spread的時(shí)候?yàn)槭裁词菧p去5%?是因?yàn)?%是coupon rate嗎?
所屬:CFA Level II > Fixed Income 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Sherry Xie助教
2021-04-25 12:00
該回答已被題主采納
同學(xué)你好,
The credit spread is equal to the yield to matu- rity on the VraiRive bond minus the yield to maturity on the three- year benchmark bond (which is 5.0000%). Based on its fair value of 96.2640, the VraiRive bond's yield to maturity (YTM) is 6.4082%。 所以5%是benchmark rate,看一下解釋哈~
