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11. Which of the following statement is correct about the option adjusted spread ( OAS )： ]/ i/ @ N$ ?/ `4 m% v' Q
A. OAS is Z-Spread minus the option cost. 7 V+ {1 m# ]& N. P7 B9 D+ d4 Y
B. OAS is the value of the embedded option.
$ p4 B- n- G d3 X4 oC. OAS is Z-spread plus the option cost.
3 Q! t6 Z1 Q& u4 a答案和详解，登录后回复可见：+ A2 z# `' j3 z
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：1 z5 S4 U. r. `! @. n) ^6 l! G
A. Treasury security with short maturity in a flat yield curve environment
4 o9 L1 r( E1 p; SB. zero coupon Treasury security.
, N! ^- e" h9 Y' S7 C' G7 UC. mortgage-backed security in a steep upward-sloping yield curve environment( J& ~: |* K( ?% u0 N; X
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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：
5 n5 {- H- Y0 \/ U2 u' o, A ]A. maturity of the security is longer. 6 ~! ^8 ]6 h! {* Z, }
B. yield curve is flatter. + p L- W$ T" U
C. security has a bullet maturity rather than an amortizing structure. 3 [6 H9 _% [/ v- y; w l
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8 j5 Y; `; x! {( u# \( p+ ^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 l, G, j5 |; V- Z: p: t( Z7 lA. 8.22% * D" o6 N. j: t) m, h5 X4 [" m
B. 8.49%. " y! _- z) i5 M) I: J! G. _( u. F
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：
2 Q) D7 I4 n' I% KA. held until maturity in 3 years.
& Y2 {8 u; f5 ~B. called in year 1. 9 Z" A+ k+ Y* B, T, n7 {
C. called in year 2.* G9 X* a I: w+ O1 q
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
