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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.....

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.

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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?

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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

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