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11. Which of the following statement is correct about the option adjusted spread ( OAS )：5 }6 m: b* u0 ?' e) d4 B
A. OAS is Z-Spread minus the option cost. ! _! F% D) F9 S1 v1 S0 g$ M. q4 r7 c& j
B. OAS is the value of the embedded option.
V1 M1 U' ^' W; L1 N0 |& m/ XC. OAS is Z-spread plus the option cost.
T0 R- b2 V5 J答案和详解，登录后回复可见：+ X$ \& {2 x6 S
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
5 B, k, ~: Y. b0 yA. Treasury security with short maturity in a flat yield curve environment : u6 b, ]: ~' T0 A+ o
B. zero coupon Treasury security.
; @- r1 Q% b+ Y( C4 _C. mortgage-backed security in a steep upward-sloping yield curve environment
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" \: D" c: V" g4 r+ u1 i13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
' d* a8 ]7 [, P! F$ b5 oA. maturity of the security is longer. # i: k# N% _9 \
B. yield curve is flatter.
( v/ `" n0 G% Q9 iC. security has a bullet maturity rather than an amortizing structure.
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" N/ P+ a, l( p# P14. 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：7 h& h- J& Q+ i y3 U; @& S
A. 8.22%
- e# C+ ?" h. SB. 8.49%. 5 S4 ?# L& H# Q; ]
C. 9.48%.- a3 d- V6 ?0 E% R3 e: K
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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：
6 J( B: w# }0 x7 sA. held until maturity in 3 years.
# k* ^/ O1 n; u% eB. called in year 1. ) y* ^9 A: h s0 v; g
C. called in year 2.. o' E5 C' {! U
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发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
