|
|
11. Which of the following statement is correct about the option adjusted spread ( OAS )：
b5 [9 F5 g `* n; `6 @' E. SA. OAS is Z-Spread minus the option cost.
. q6 J7 z: |* k7 lB. OAS is the value of the embedded option. 0 y; S, ^6 s7 p: r+ d
C. OAS is Z-spread plus the option cost.5 b, `8 B: f/ o* Y
答案和详解，登录后回复可见：2 {% E/ D% G. d3 O; N3 B
+ }( r1 m2 c- l. U% V
3 I6 c( A4 }+ b/ H6 y
12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
/ d6 [9 e. \' \; |- CA. Treasury security with short maturity in a flat yield curve environment
; o# q# P$ ]/ GB. zero coupon Treasury security. 9 q5 h- ^5 Z9 L) k
C. mortgage-backed security in a steep upward-sloping yield curve environment
- v7 _; F6 n+ ^% j& c- x
' E' f# P) t! x" V( i! z) A) F4 H i: y- D& n
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：! o, ^5 ~/ \/ k5 n: ?
A. maturity of the security is longer. # j6 l& r* ^3 ^" B# ]
B. yield curve is flatter.
6 U- A$ q6 o+ n& }) L7 f5 z( wC. security has a bullet maturity rather than an amortizing structure. 4 n+ m7 s0 j! V3 N9 @9 N
2 K( q( I7 N$ p8 |
' U* h$ U" {; O$ l, |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 $98 today, the yield to call is closest to：+ k, m9 f$ N! |. O/ }* }
A. 8.22%
2 p1 M, r1 [ n( ^# ?' |+ iB. 8.49%.
2 k2 P9 R0 ^2 @7 V, [C. 9.48%.
' {1 o0 d/ p, k0 y+ q" c4 m/ f. q4 ~
9 I, ^& N* ^# ]6 B5 V) s15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：' K' h# V) A1 n4 i/ R" s
A. held until maturity in 3 years. 2 F) s9 U) }& o9 h. O" a7 |7 o
B. called in year 1. & [2 h$ P; P; ^8 ` Q7 k9 s
C. called in year 2.; z% [. r/ F2 c. `
0 z+ @6 N1 {6 ~" D
" _! H+ \* [& j# q& f更多CFA习题可关注：高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
' L. C) P0 z( X' Y. U% X关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得6 J/ g) L2 S$ W+ A( \# A
% N* N& N$ E) t |
|
[复制链接]
发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
