??智慧
2022-11-06 20:18benchmark spread 和g-spread有什么區(qū)別呢?感覺就是第二個(gè)的benchmark就是國(guó)債
所屬:CFA Level III > Fixed-Income Portfolio Management 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
Chris Lan助教
2022-11-08 15:43
該回答已被題主采納
同學(xué)您好
The yield spread (or benchmark spread) defined earlier as the simple difference between a bond’s YTM and the YTM of an on-the-run government bond of similar maturity is easy to calculate and interpret for option-free bonds, and it is particularly useful for infrequently traded bonds.
benchmark spread就是yield spread,是指一個(gè)企業(yè)債的yield減去一個(gè)on the run的國(guó)債的yield,這個(gè)國(guó)債和企業(yè)債的期限相似就可以了。不要求完全匹配。
但G-spread是指相同期限的企業(yè)債和國(guó)債yield之間的差異。
