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11. Which of the following statement is correct about the option adjusted spread ( OAS )：0 x% b9 B! }4 y5 u& i! Z" T
A. OAS is Z-Spread minus the option cost. 9 E; Z. x: y" Z" \8 F. o
B. OAS is the value of the embedded option. 6 W2 |# a+ c% ]5 r/ O1 Y
C. OAS is Z-spread plus the option cost.
5 C/ s+ e2 R" E7 J答案和详解，登录后回复可见：
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! s. \- A5 R! E8 S12. The difference between Z-spread and nominal spread will most likely be the most significant for a：. O" \% m& `7 H
A. Treasury security with short maturity in a flat yield curve environment
5 a5 w7 C, n# j6 sB. zero coupon Treasury security.
) M! F- } z* `. S7 l( ~C. mortgage-backed security in a steep upward-sloping yield curve environment- `. y2 ~6 r9 D& f
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! b* w' i: r$ e, }' Q13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
7 B# O/ w5 Z8 j; _* @, LA. maturity of the security is longer. 3 L8 N: z! V% y2 X& ?
B. yield curve is flatter. . [/ M, Z8 }$ h7 g2 s5 @
C. security has a bullet maturity rather than an amortizing structure.
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14. 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 $98 today, the yield to call is closest to：6 I D' ^4 z9 x
A. 8.22% : {! A- ?4 X) ?: t9 n
B. 8.49%.
/ u5 q$ a4 Y" n- AC. 9.48%.
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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：. F/ Z9 {3 B% g" X. G ?% ]( F
A. held until maturity in 3 years.
$ u+ y- D B- M) z3 O# }* q/ U2 }B. called in year 1. , H B, G$ f- D1 Y
C. called in year 2.
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
