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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
& ?( j" |" F3 L4 J$ ~) ? _A. OAS is Z-Spread minus the option cost. - r( c8 f+ M1 G7 @+ R; C$ o
B. OAS is the value of the embedded option. + W. F; ^/ \, V; Q# R; D/ W
C. OAS is Z-spread plus the option cost.% ~0 w& p) P y U' b G* o" R
答案和详解，登录后回复可见：
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; S$ S1 ?0 h7 I% _12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
$ j+ d3 k( ^ T* O* E4 p$ wA. Treasury security with short maturity in a flat yield curve environment
1 H$ A! I: y3 HB. zero coupon Treasury security.
9 K+ \ t2 ^' g+ n2 }6 EC. mortgage-backed security in a steep upward-sloping yield curve environment# `( i0 h# p# r% d# {6 Q, @# _
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1 f: t, J1 X. \! e% c13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
5 G6 u! @- E W! ~3 ZA. maturity of the security is longer.
/ x7 V& o# y$ \# M+ JB. yield curve is flatter.
6 c1 D* [- |/ _& bC. 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：
/ }& a6 x B5 t- `8 ZA. 8.22%
1 q* w4 B5 t* Y* X# W7 I& f' e5 YB. 8.49%.
9 z0 K. v" ~' R3 K" q# TC. 9.48%.6 y+ n8 {( o! X
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8 T o8 S/ b3 i15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：1 t8 N! Q7 y6 `/ X$ ?
A. held until maturity in 3 years. + ]+ ~/ j1 X2 G& ]7 m4 K4 v
B. called in year 1. ; l( @, y4 l: P% r! J7 z! L* v
C. 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
