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11. Which of the following statement is correct about the option adjusted spread ( OAS )：, f! B+ L% g7 j5 i1 u$ g" f! w
A. OAS is Z-Spread minus the option cost.
0 H. ~+ k8 z; K' P7 T/ bB. OAS is the value of the embedded option. 6 l5 h; [2 n% d; S
C. OAS is Z-spread plus the option cost.
: D. o9 S! j# ?+ [) W! N5 k4 l9 N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：) Y+ N, R! p6 b- U
A. Treasury security with short maturity in a flat yield curve environment
- t, Y% x" `0 c" @4 d: r% {+ S% CB. zero coupon Treasury security.
3 r' L3 d+ Y7 f9 E9 j9 ?C. mortgage-backed security in a steep upward-sloping yield curve environment
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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：
; f( N9 ^# D: @$ k( f( z8 YA. maturity of the security is longer.
' e3 X, d/ e" `& t& QB. yield curve is flatter.
' I, ^/ N5 f3 R1 T5 ~C. security has a bullet maturity rather than an amortizing structure.
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+ E7 v* Z; M0 }& `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 $98 today, the yield to call is closest to：# Y6 v" D# A4 N2 y# }2 O
A. 8.22%
3 z( g9 {+ U& _- c1 q# \" {B. 8.49%.
3 P0 a* f( z; X' r2 @0 xC. 9.48%.$ R# I' E$ Z# f1 c
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6 F! B$ u! t# J6 c15. 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：- W9 y( Y3 l/ A# t; r5 B; F
A. held until maturity in 3 years.
) D8 s, G! C6 I2 G6 m/ ?9 i4 {' v9 X4 FB. called in year 1. 3 D+ F* I; ?& u- u; J- X* D% X
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
