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...
G-spread 就是spread, 就是我们说的利差，把债券的收益率用公式算一算，然后减去同期限的国债利率。对...
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 就是spread, 就是我们说的利差，把债券的收益率用公式算一算，然后减去同期限的国债利率。对...
Z-spread 和G-spreadCFA III Fixed Income 在讲Z-spread时,G-spread是加在goverment bond的YTM上,此时ytm是一条直线。Z-spread是在收益率曲线向上倾斜的基础上添加的。 为什么一个是直线,一个是向上倾斜? 添加评论 0 0 1 个答案 WallE_品职答疑助手 · 2020年09月06日 以为一个是YTM 一个是spot rate...
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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策略报告 1. Z_spread的计算方法输入参数: 交易所固定利率国债即期收益率曲线(数据来源:中债债券信息网) 当日有交易债券的收盘价(净价)..
The zero-volatility spread is the constant spread that will make the price of a security equal to the present value of its cash flows.
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