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...
I-spread是公司债的spot rate和swap rate的差，代表公司债相对银行借贷的风险溢价，T-spread是指TED ？
I-spread是公司债的spot rate和swap rate的差，代表公司债相对银行借贷的风险溢价，T-spread是指TED ？
Z-spread stands for zero-volatility spread. It is the spread that must be added to each spot interest rate to cause the present value of the bond cash flows to equal the bond’s price. While G-spread and I-spread just measure the difference between the static yield to maturity of the ...
1、在一般情况下,同等条件下,G-spread通常会比Z-spread更大。这是因为G-spread是债券收益率与相同期限的政府债券收益率之间的差异,而Z-spread是债券收益率与零息国债收益率曲线之间的差异。由于零息国债收益率曲线通常比普通政府债券的收益率曲线更加平滑,G-spread往往会大于Z-spread。不过,这也取决于市场条件和收...
are presented in the table.求解Z-spread，只能用试错法，将三个选项中当中的那一个代进去试试看。
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B. is added to each spot rate on the Treasury yield curve that will cause the present value of the bond’s cash flows to equal its market price. C. results when the cost of the call option in percent is subtracted from the option adjusted spread. ...
所以可以总结为OAS就是最单纯地反应信用补偿(风险),我们在分析含权债券时,如果要对比信用补偿,只能用OAS,而不能用Z-spread。 总结下: 以上几个Spread都反应公司债相比国债的额外风险(补偿);I-spread/G-spread/Z-spread在计算他们时,用到的基准利率不同,他们的本质都是一样的。而OAS是在Z-spread的基础上,剔除...
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