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11. Which of the following statement is correct about the option adjusted spread ( OAS )：; N0 v* u# t7 P
A. OAS is Z-Spread minus the option cost. ; X1 x% ^7 c; d# V+ E( {
B. OAS is the value of the embedded option. 5 ~* p- y* \9 [5 F+ Y, v
C. OAS is Z-spread plus the option cost.1 i' G: h$ i3 D. V' T) Q
答案和详解，登录后回复可见：
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
2 r7 r0 q' d2 b l5 P/ |A. Treasury security with short maturity in a flat yield curve environment
( F9 F5 h+ c" l; VB. zero coupon Treasury security.
+ D% C. W, p. o6 r6 @0 V) h) wC. mortgage-backed security in a steep upward-sloping yield curve environment
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; t) h; b; e6 G# Z* I5 @& u13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：! I% J% E7 h. t1 R1 q! |7 l
A. maturity of the security is longer. 3 f% f4 L/ B( n
B. yield curve is flatter.
0 u+ B! f) E' G9 r+ cC. security has a bullet maturity rather than an amortizing structure.
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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：
/ B2 w/ v1 p2 Z3 VA. 8.22% ' U9 V2 q. C6 c, [9 b2 p
B. 8.49%. 7 O) Q/ T/ A& u5 A' o: w2 _
C. 9.48%.( T* X7 h- H, K/ r% e5 z8 N
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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：
: y3 Q! r% `2 t, T, L. ZA. held until maturity in 3 years.
/ _( P) i# k( Y; VB. called in year 1.
6 u5 ]* a9 o3 u: vC. called in year 2.6 G* U ~# [: }+ w7 D! q S. c1 T
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
