|
|
11. Which of the following statement is correct about the option adjusted spread ( OAS )：
( x% H) s9 j+ ~' LA. OAS is Z-Spread minus the option cost.
5 L5 H* G& ~: k& K4 Z! ?B. OAS is the value of the embedded option. $ ]( H c; e# }" ^( o( X
C. OAS is Z-spread plus the option cost.
0 W+ B! x% z3 E0 S1 h答案和详解，登录后回复可见：
q. v. I8 J$ f% y2 M$ n4 y
* l- P& y4 Z$ ]' n8 E# M# D6 a3 I+ G3 O$ C; S
12. The difference between Z-spread and nominal spread will most likely be the most significant for a：- e- d$ \# V% }) {- B& a) w
A. Treasury security with short maturity in a flat yield curve environment
, F7 r0 ^( C! Z) ~/ i# M2 ~3 ?8 y2 SB. zero coupon Treasury security.
7 Y$ F) F0 J/ M, i1 YC. mortgage-backed security in a steep upward-sloping yield curve environment3 v) H: R; F# {) H' p& p
! V0 e* Q4 h! r# k: M5 J* F" z4 ?% {; D$ `/ I$ F! s" F
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：
1 w8 c3 H0 x! W y# Q6 `A. maturity of the security is longer.
) [% w7 @( j }) Z) e+ v$ z. bB. yield curve is flatter. 2 Q3 t3 b, J" e* F
C. security has a bullet maturity rather than an amortizing structure. + o2 p' h4 Z5 G3 ~
0 J) B( m+ } x# w% f: n
) C: M& K; U2 u, o
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 $98 today, the yield to call is closest to：
( e9 F C8 n( J! O( wA. 8.22% 0 `5 l) R0 [* [+ Z
B. 8.49%. : I. N! b7 L2 m6 {! t
C. 9.48%.% s: W7 `4 X" d$ C9 A
! D6 z5 T9 W% b6 X1 L0 n
. T) d9 I. X! z8 s. e$ g1 T- y15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：
. j$ W, i$ C% p+ @! i8 uA. held until maturity in 3 years. $ o- t& f7 T' M
B. called in year 1.
- v1 I, _7 r/ e: r, I/ ]3 ?C. called in year 2.
" \" v- G: Z6 @; o
; |/ b g3 y# w& w0 M+ | D* }
更多CFA习题可关注：高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c3 N0 w+ }& t7 Q
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得# m n( m$ w, F6 u! o* m
2 L* `( x) h9 O0 {% l |
|
[复制链接]
发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
