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11. Which of the following statement is correct about the option adjusted spread ( OAS )：% c5 H# _) T6 Y& ~
A. OAS is Z-Spread minus the option cost.
6 L+ N% O; t# X1 z4 F. CB. OAS is the value of the embedded option. $ W6 w0 r0 J$ n$ _/ d7 q8 v
C. OAS is Z-spread plus the option cost.7 t8 M N: ]9 ~. j$ x& 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：1 }0 D' v3 r$ c" t5 x9 T8 u# _
A. Treasury security with short maturity in a flat yield curve environment & g. D) X9 b9 }; M |5 ?0 D
B. zero coupon Treasury security.
: o+ E% l+ d! ~) m" J# ]C. mortgage-backed security in a steep upward-sloping yield curve environment; D8 N+ W; a* M- Z
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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：- n: U% p1 R& }" h, l; W- n
A. maturity of the security is longer.
, V) J5 S! k s! S. d. l, @& YB. yield curve is flatter.
/ `( [& y" h* n, R1 I. iC. 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：
4 O+ }9 ]7 I* w; x8 B# DA. 8.22% 2 t: o5 ]: @& z) ]; |4 S4 Z( ]
B. 8.49%. 4 G4 l4 Y+ H5 @7 g( n5 k0 \
C. 9.48%.0 x( H! v% r: ]* E+ w% V
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# Z b% [ W& k8 e15. 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：
$ E( d% W- i3 V& nA. held until maturity in 3 years.
6 F9 g, M7 C" B% ?0 x& G! m) u& YB. called in year 1.
0 h+ K I* p& l% H# ]" P) B2 KC. called in year 2.
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
