李同学2019-03-14 18:03:40

11.单选题 已收藏 标记 纠错 A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.009. The two-year, 4% annual payment government benchmark bond is trading at a price of 100.750. The one-year and two-year government spot rates are 2.10% and 3.635%, respectively, stated as effective annual rates. Which of the following is the G-spread, the spread between the yields-to-maturity on the corporate bond and the government bond having the same maturity. A 220.5 bps B 239 bps C 241.8 bps 查看解析 上一题 提交试卷 正确答案B 您的答案A本题平均正确率：85% Yield spread难度：一般 推荐：      答案解析 The yield-to-maturity for the corporate bond is 5.9951%. PV=100.009, N=2, PMT=6, FV=100, r=5.9951 The yield-to-maturity for the government benchmark bond is 3.605%. PV=100.750, N=2, PMT=4, FV=100, r=3.605 The G-spread is 232.7 bps: 0.05995 – 0.03605 = 0.0239. 问：G-spread来比较公司債和国债的YTM差了多少，一般都是比较期限相同的么？向这道题都是2年，还是期限不同也可以拿来比较（因为我已经换算成YTM了 而这道题只是刚巧两个都是2年）？