xinyu
2018-06-05 09:55請(qǐng)問(wèn),原版書(shū)SS7 Reading14 的case3 Risk premium model一題中, 為什么10-year MBS的return在計(jì)算中,沒(méi)有加上“spread of 10-year over 1-year Treasury note”?我認(rèn)為10-year MBS應(yīng)該是10-year Treasury +MBS的spread,所以應(yīng)該包含“spread of 10-year over 1-year Treasury note。請(qǐng)您幫助解答,謝謝!
所屬:CFA Level III 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
金程教育Alfred助教
2018-06-05 14:58
該回答已被題主采納
同學(xué)你好,你的理解是有道理的,不過(guò)在表格下面有一句話(huà):This spread implicitly includes a maturity premium in relation to the 1-year T-note as well as compensation for prepayment risk.也就是95bps已經(jīng)考慮了maturity premium這部分時(shí)間的溢價(jià)
