1、Z-spread是公司债券的spot rate和政府债券的spot rate之差。 2、G-spread是公司债的YTM和政府债券的YTM之差。 下图中可以看出Z-spread和G-spread的差别。两者的区别就是GS假设收益率曲线水平,而ZS假设收益率曲线倾斜。 ---加油吧,让我们一起遇见更好的自己! 添加评论 1 0 1 回答 1 关注 1587 浏览 我...
G-spread揭示的是公司债与国债的远期收益率差异，体现公司债相对于国债的风险溢价。然而，远期收益率假设未来利率走势，不如即期收益率稳定。Z-spread则表示公司债与国债的即期利率差异，同样展示风险溢价，但即期利率特性使其评估更为精确。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...
Z-spread是公司债与国债的spot rate之差，而G-spread是公司债与国债的YTM之差。正常情况下Z-spread>G...
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...
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 ...
I-Spread = Bond Yield − Swap Rate = 3.5% − 2.69% = 0.81%Given the bond price of $990, annual coupon payments of $34 (=$1,000 × 3.4%) and Treasury spot rates for 1 and 2 years of 2.14% and 2.42%, we can work out z-spread by solving the following equation for Z:...
第二张图,对于G spread,它与yield spread相比,要求ytmc与ytmb要maturity match,如果不match,要进行插值,插值需要用到ytm曲线上不同点的值,从这个角度讲,可以说G spread考虑到了ytm 曲线的term structure。 这里的表述不是很准确,一般情况下,我们认为只有z spread与OAS才是考虑term structure of interest rate。
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