|
|
11. Which of the following statement is correct about the option adjusted spread ( OAS )：
% Y0 c2 J* u- ~1 b8 x, d& m4 bA. OAS is Z-Spread minus the option cost.
' o# J2 \- x1 ]" H8 p2 b* L' pB. OAS is the value of the embedded option.
$ z" q( a. B: A0 ~" B5 }C. OAS is Z-spread plus the option cost.
: e( m* @$ T# h W D) N答案和详解，登录后回复可见：) p. w& I4 K7 c! C+ @
+ k$ u1 L- s) |
1 Q7 Z8 ?' F4 l @* ~8 a
12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
5 l" p# G- X& S# T2 [7 A( w0 zA. Treasury security with short maturity in a flat yield curve environment 1 B) n8 s0 V* C) L
B. zero coupon Treasury security. ) E* b. K1 ~( X* x" \
C. mortgage-backed security in a steep upward-sloping yield curve environment
0 X5 y1 i- f" _: N& z
8 G7 _+ i/ L5 m' m5 r5 R
. Z# n& O* f4 u2 d13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
- E) f2 J& }$ F3 o: @/ OA. maturity of the security is longer. ; Q7 {2 w' S) }& p0 C# [
B. yield curve is flatter. 9 A7 d% G* p, X: L0 f
C. security has a bullet maturity rather than an amortizing structure. e" i' Q$ |" Y$ K+ v- ?4 B+ h
% N, P1 r4 S2 Z$ s
4 L) y9 d+ {; d7 y! x7 N! S5 ^! T14. 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 $98 today, the yield to call is closest to：; p2 k7 P( l" D: o6 I$ R
A. 8.22%
v/ q, q6 G2 u/ w4 O8 ~2 xB. 8.49%.
8 q6 ?8 ^# O# w$ B- uC. 9.48%.
0 ]. h, ?! q7 i6 m3 x3 A7 ?# k2 G6 q0 G1 _" ?, }" }
( M# l- T8 |+ e( u/ N
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 $1,005. The bond’s yield to worst most likely occurs when the bond is：$ P' j5 U" q8 m. A3 [& n9 `! c" E3 t
A. held until maturity in 3 years.
! K: K. o( [" r* p: f6 LB. called in year 1.
+ T X R4 R% d7 l/ {: PC. called in year 2.
6 Y# E( W0 O7 k2 r" X& |/ n8 P- W
9 [1 s; a: R* j8 W [更多CFA习题可关注：高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
4 y; J5 [0 |9 b2 V. r% F# X4 l/ Z& P$ H关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
; b& i" W7 Q* ?/ Q6 C* `8 f7 g
1 I; h: q# N- p) b$ H R3 n' U0 c |
|
[复制链接]
发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
