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11. Which of the following statement is correct about the option adjusted spread ( OAS )： F% x* Y- H% W. i) ?1 q
A. OAS is Z-Spread minus the option cost.
8 N1 y; c* Z, F1 w# `; N# b. ?B. OAS is the value of the embedded option. 8 b+ g: Z$ q+ u/ {' T0 b
C. OAS is Z-spread plus the option cost.
% n; B u+ @" R( U答案和详解，登录后回复可见：8 G: q1 l, R8 |0 {5 k. c5 C
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, I" f5 i/ P% o# U12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
/ c$ p8 k; E2 M& {0 f/ ]A. Treasury security with short maturity in a flat yield curve environment 3 h$ a- ~7 O. l; F4 {% M5 p. I7 n
B. zero coupon Treasury security.
2 c2 G2 Y( A# k. [) \, oC. mortgage-backed security in a steep upward-sloping yield curve environment8 z" b( V3 O( F3 t$ u" y
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0 F5 r i( t! d2 @% V, ]+ B13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：0 [$ F8 d* w+ z; z" W: u9 y
A. maturity of the security is longer.
/ o% n& f: ^8 M% G# F8 Z; h oB. yield curve is flatter. # S; g& [' ]& T
C. security has a bullet maturity rather than an amortizing structure. , t9 D+ r Y, U, M7 H# ` k
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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 $98 today, the yield to call is closest to：& {" O) ?* ]9 y( O
A. 8.22% 6 ^9 l" s9 C6 y9 {+ p$ g
B. 8.49%.
0 L' C5 f0 R0 X$ g3 t( \C. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：
% u7 p* _- z' E9 p3 n# q7 WA. held until maturity in 3 years.
" p' K" E$ _: h* b& F( sB. called in year 1. - T e: O3 j8 x4 X* B
C. called in year 2., [) [2 O% H. t* L ^
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发表于 2016-1-8 09:22:29
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