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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
$ g7 c' u1 t; @+ L1 kA. OAS is Z-Spread minus the option cost. & y% h7 o) |' S* F
B. OAS is the value of the embedded option. ! \- Z6 H2 E5 v! [; U8 w9 ]% u
C. OAS is Z-spread plus the option cost.
5 v' G& d5 i7 `4 Z+ a' t! |8 f- j答案和详解，登录后回复可见：
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
0 H0 U6 e/ a+ ^5 e" oA. Treasury security with short maturity in a flat yield curve environment
4 Y0 R: t! c, s& {5 f/ A Y8 W U# [B. zero coupon Treasury security.
- `; O) V* x: {0 c) y% gC. mortgage-backed security in a steep upward-sloping yield curve environment6 p8 ^2 {* q( ^1 k/ q$ a7 @# m0 N
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13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
' Y7 V$ y6 f9 @A. maturity of the security is longer. + S% @7 p. S& D- g% J7 a
B. yield curve is flatter.
& c+ ~( K! |* }C. security has a bullet maturity rather than an amortizing structure.
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4 t2 v5 w4 P% Y. R 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：
! O+ [6 T) b6 l" B9 h) ~0 P7 f! Q; aA. 8.22%
C! }, M3 _& aB. 8.49%.
+ Z( u' r; c k( f9 U+ h: H. S) `: PC. 9.48%.7 ~5 G: K0 P2 h( K. R
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15. 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：
7 M5 q* g; y0 P0 ZA. held until maturity in 3 years.
" H; P: H/ t Y! W8 g/ o" U# MB. called in year 1. 0 A9 V' C3 u* D i: _1 D! i3 C
C. called in year 2.6 k1 A {3 N, U" z5 q
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发表于 2016-1-8 09:22:29
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