US Treasury bond的spot rate yield curve (spot curve)也叫zero curve (for zero coupon)/strip cu...
A. Par bond yield curve. B. Zero-coupon bond yield curve. C. Reinvestment rate yield curve. 相关知识点: 试题来源: 解析 B The spot rate yield curve shows the appropriate rates for discounting single cash flows occuring at different times in the future. Conceptually, these rates are equivalent...
RATE,所以Z>G spread。反过来,spot yield倾斜向下时,YTM大于最后一期用于折现本金的SPOT RATE,所以Z...
而ZS是假设收益率曲线是倾斜的,那么每一期现金流用到的折现率就是不同的,这个折现率是在国债spot rate的基础上加上的ZS得到的。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。 回到这道题,收益率曲线越陡峭,两个利差之间的差别就越大。我们可以想一个极端例子,当spot curve是水平的情况下,此时...
百度试题 题目The Treasury spot rate yield curve is closest to which of the following curves? A. Par bond yield curve. B. Zero-coupon bond yield curve. C. Forward yield curve rate.相关知识点: 试题来源: 解析 B 略 反馈 收藏
C. Zero-coupon bond yield curve.D. Forward yield curve rate. 正确答案:C 分享到: 答案解析: The spot rate yield curve shows the appropriate rates for discounting single cash flows occuring at different times in the future. Conceptually, these rates are equivalent to yields on zero-coupon ...
在yield curve upward时,这三个利率是什么关系 downward时,这三个利率什么关系添加评论 0 0 1 个答案 李坏_品职助教 · 2023年05月17日 嗨,努力学习的PZer你好: 当spot rate期限结构是downward时,YTM会大于spot rate。 par rate是使债券价格恰好等于面值的折现率,走势和spot rate是一致的,在spot rate期限...
Yield curveyield curve modellingspot interest ratesThe article investigate the accuracy and stability of quantitative models for modeling of the spot rate curve under the Bulgarian conditions. The empirical analSocial Science Electronic Publishing
Spot interest rate for maturity of X years refers to the yield to maturity on a zero-coupon bond with X years till maturity. They are used to (a) determine the no-arbitrage value of a bond, (b) determine the implied forward interest rates through the process called bootstrapping and (...
There are two main ways to determine the return of a bond:yield to maturity(YTM) and the spot rate, which in this context should be thought of as the spot interest rate. For example, the spot interest rate for Treasuries can be found on thespot rate Treasury curve. The spot in...