The zero-volatility spread is a measure of the spr
The zero-volatility spread is a measure of the spread off:
A. one point on the Treasury yield curve.
B. all points on the Treasury yield curve.
C. all points on the Treasury spot curve.
参考解答
4j8***102
2024-11-17 15:23:26
Ans:C
Instead of measuring the spread to YTM, the zero-volatility spread measures the spread to Treasury spot rates necessary to produce a spot rate curve that correctly prices a risky bond. Therefore B is incorrect.
The zero-volatility spread is the equal amount that we must add to each rate on the Treasury spot yield curve in order to make the present value of the risky bond’s cash flow equal to its market price. Therefore A is incorrect.
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