I-spread是公司债的即期利率与互换利率之差,反映了公司债相对于银行贷款的风险溢价。互换利率代表了市场对未来利率的预期,因此I-spread能够反映市场对公司债违约风险的定价。T-spread,通常指的是TED利差,即LIBOR与T-bill的差异,也即欧元美元与美元的借贷成本差。LIBOR作为银行业借贷利率的基准,体现了...
G-spread是公司债和国债YTM的差,Z-spread是公司债和国债spot rate的差,这两个都体现的是公司债相对...
i-spread是你的目标债券的YTM与interest swap rate(这个就是基准)之间的利差;至于z-spread嘛,这个跟...
Yield spread represent the percentage points by which required rate of return on a class of bonds differs from some other
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问题一:Z-SPREAD是假设利率波动为零,这和假设single yield没有区别呀?? 问题二:G-spread是相比于一个类似的政府债券的收益率,z-spread是对比spot curve,可是一般spot rate不也是政府发行的零息债券吗?这两个没有很大的区别呀?添加评论 0 0 1 个答案 ...
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Z-spread是用Spot rate作为基准利率,基于Spot rate算出来的Spread就是Z-spread。例如,已知1年期Spot rate=1%,2年期=2%,3年期=3%; 已知一只公司债的现金流,已知他的市场价为98;由于是公司债,相对国债有超额补偿,那利用Spot rate对这支债券进行折现需要再加上一个Spread,这个Spread就是Z-spread,所以对公司债1...