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11. Which of the following statement is correct about the option adjusted spread ( OAS )：) }9 c! Q0 Y' X) d7 O& e+ r
A. OAS is Z-Spread minus the option cost. ( p3 I5 Q6 ?: f0 w) n
B. OAS is the value of the embedded option.
1 t( U: _1 D0 O( y1 b& l- lC. OAS is Z-spread plus the option cost.
7 c( G1 g g& z, ?* u/ Q答案和详解，登录后回复可见：
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c" p- W; t% E" A1 V j12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
2 n% r0 l, o CA. Treasury security with short maturity in a flat yield curve environment
4 Z. b7 E: h; d7 z9 x# _4 n5 h' l0 ]( cB. zero coupon Treasury security. {/ g, w. E; Y! C
C. mortgage-backed security in a steep upward-sloping yield curve environment5 h' [3 m" f( C7 q4 G8 ~( B
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$ T! P$ f, k- t, v) i# z# J13. 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 |& x1 e1 ?; V" y {$ QA. maturity of the security is longer.
1 |# x/ `; g# z. J+ `; m: ?; f8 xB. yield curve is flatter.
* ~, | F8 r& z* 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：2 c. K, h# F3 p) P
A. 8.22% . k% Q q' G) Q6 d# R
B. 8.49%.
1 @* T2 X& x- D: n7 N) P7 CC. 9.48%.& F7 ~" g1 M) Z
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* F& o( r: S6 ^. @- h8 K15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：# f$ e6 u3 F |# G- o5 ^0 n
A. held until maturity in 3 years. , }, m& U; t; M# L- d
B. called in year 1. 8 a& a5 t+ C5 X( J
C. called in year 2.
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更多CFA习题可关注：高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
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