标题: CFA 问题, Z-spread 什么时候为零???大神素来呀 [打印本页] 作者: spreads 时间: 2014-8-7 13:21 标题: CFA 问题, Z-spread 什么时候为零???大神素来呀
level 1,的一道题, the zero volatility spread will be zero for an on-the-run treasury bond, 这里就不懂了,zero spread 不是至少要treasury bond 和risky bond 两个债券,在每期贴现率上加一个相同的数字使得两个yield curve 相同吗?这一个treasury bond 怎么就为零了呢??小弟给跪了,求大神赐教啊.....作者: chandsingh 时间: 2014-8-7 13:22
Z Spread 是加在Treasury curve 上的所以on the run treasury 的话就不需要加了,所以=0作者: adjani.zhang 时间: 2014-8-29 14:45
建议你重新理解z-spread
下述定义是错的:
zero spread 不是至少要treasury bond 和risky bond 两个债券,在每期贴现率上加一个相同的数字使得两个yield curve 相同吗?作者: adjani.zhang 时间: 2014-8-29 14:47
Definition of 'Zero-Volatility Spread - Z-spread'
The constant spread that will make the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received . In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the Z-spread.