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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
5 L) k7 w' `' I" j3 ^: T( g8 {; c& AA. OAS is Z-Spread minus the option cost.
: U; `( f8 A" [* j0 |. w) nB. OAS is the value of the embedded option. * P/ [( O }& L/ U1 o7 e
C. OAS is Z-spread plus the option cost.
+ b* O- P3 n6 A/ J j" U7 s答案和详解，登录后回复可见：
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3 M% q4 t/ C. g7 _( R, q12. The difference between Z-spread and nominal spread will most likely be the most significant for a：6 _0 d7 B- T4 |" E [$ g# Y
A. Treasury security with short maturity in a flat yield curve environment
1 V( v( p; Z4 z5 m: h# PB. zero coupon Treasury security. ]. J' \, |4 t: A& s0 _( o- y; q
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：
0 {$ Y! n$ ]1 L+ F6 ]3 _A. maturity of the security is longer. / c4 B5 c4 R, i; C& i1 r
B. yield curve is flatter. 7 ~3 U0 _6 O5 X: c. s% b
C. security has a bullet maturity rather than an amortizing structure. # I9 Q7 k& J- Y: W9 R$ S
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. [8 E- R7 _# X8 |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 $98 today, the yield to call is closest to：0 b5 r2 v( G0 E! o7 {
A. 8.22%
3 U o/ {6 z9 xB. 8.49%. 7 l& N2 d! L9 e4 u
C. 9.48%.7 I# v$ B2 N5 O7 O8 y1 K1 f
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. h( b# l" @" S9 j6 v15. 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：
; I: z1 j3 t1 L0 Q' ]A. held until maturity in 3 years.
: d+ v1 `( \, w: B2 `B. called in year 1. ' [* Z# A* ~1 k& P
C. called in year 2.
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