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11. Which of the following statement is correct about the option adjusted spread ( OAS )：6 _0 T7 N9 p5 S& a
A. OAS is Z-Spread minus the option cost.
+ a$ u* f3 x1 BB. OAS is the value of the embedded option. & J9 w! ?1 W! ?
C. OAS is Z-spread plus the option cost.
0 t2 o! n+ |' l! W答案和详解，登录后回复可见：
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3 w7 e" x# F( Q12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
; V2 c0 b, o' w# J- F5 rA. Treasury security with short maturity in a flat yield curve environment ' S K( V* p: t* v1 ]
B. zero coupon Treasury security.
. U) L' d, t: VC. mortgage-backed security in a steep upward-sloping yield curve environment' \. P2 e: _! E
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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：& C9 L. Y, h( l
A. maturity of the security is longer.
' B7 P+ i; u3 u+ cB. yield curve is flatter. & {* D0 G8 `! Z& q
C. security has a bullet maturity rather than an amortizing structure. `5 Z, D8 h7 z. H( D
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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：
/ Q- V! G+ J5 N4 qA. 8.22% * f' c- _1 a! F- {. J
B. 8.49%. / Q. ~( i" y% ]
C. 9.48%.; I! S4 r/ b; x3 B
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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 $1,005. The bond’s yield to worst most likely occurs when the bond is：
5 D7 M; R. }' Q) aA. held until maturity in 3 years. " M0 r0 l9 P% r$ U8 Q6 D
B. called in year 1. . F. y3 g( J4 x
C. called in year 2.+ j; l+ U0 g, V1 [! `7 n7 v
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
