|
11. Which of the following statement is correct about the option adjusted spread ( OAS ):
* g i! O& z+ G' a0 h/ [6 HA. OAS is Z-Spread minus the option cost. $ w6 u+ G$ q: d$ l% U/ R8 Q. U
B. OAS is the value of the embedded option. 1 w2 _2 v: F: K4 V
C. OAS is Z-spread plus the option cost.
8 Y) ^, I6 z2 e. V0 A答案和详解,登录后回复可见:; q$ {2 J7 D* N5 ~8 x; R* Z7 q6 E
( ^2 `/ h K' d* Z# B; [; c
2 M D; n& ^6 @6 l7 s12. The difference between Z-spread and nominal spread will most likely be the most significant for a:1 {$ v. N1 t9 u: f
A. Treasury security with short maturity in a flat yield curve environment 8 R4 y( D: E; Q6 \* [# T3 A
B. zero coupon Treasury security.
/ U4 v% z' C" pC. mortgage-backed security in a steep upward-sloping yield curve environment
, K# b1 z' ?: E! t- V. L. E6 g( h8 Y& C. \ }
/ w6 b# M0 I$ B2 N% p0 g13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when:
' [+ z9 x( c3 F$ X7 Z, cA. maturity of the security is longer.
5 K! f" `: ?1 @+ FB. yield curve is flatter.
/ D1 r; e: F' f; MC. security has a bullet maturity rather than an amortizing structure. ; v9 y. [6 k K# `2 [/ A# I
: n6 X8 H: M; o7 Z4 G
, R1 N: `+ t: h6 W5 t. U, q14. A semiannual-pay bond is callable in five years at $106. The bond has an 8% coupon and 15 years to maturity. If the bond is currently trading at $98 today, the yield to call is closest to:
# a: T! K$ z, F- E$ H. u" \A. 8.22%
' B8 z" y( g# S% ?: a! M4 c$ y. NB. 8.49%. 0 q. a) M/ w: s' r/ R. K: i6 j
C. 9.48%./ @( x: A, M$ F: J7 y! [
& z1 s3 T9 ~0 }2 J g1 L
% U' I" q U& A15. A 10% annual coupon bond with 3 years to maturity is currently trading at $1,010. The bond is callable in one year at a call price of $1,008 and in two years at a call price of $1,005. The bond’s yield to worst most likely occurs when the bond is:
" a( F3 N7 g! [1 HA. held until maturity in 3 years.
6 s4 @9 W5 `5 g: ^B. called in year 1. - a8 G5 I4 A1 W5 p+ ?' R T
C. called in year 2. E E' k4 ]# f) p% Z8 l' G. ?
/ p M0 @ R; t% Y) c4 _. ?/ _
6 z9 f" {1 I* C1 n+ b更多CFA习题可关注:高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
; K# h1 r6 n1 v8 l关注微信CFA-FRM (CFAFighting)CFA考试资讯抢先得
" G! N( J& @0 }7 h2 g' f, C' a* [3 N
|
|