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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
; E& K0 Q% @1 p1 n; t4 x/ P5 NA. OAS is Z-Spread minus the option cost. ) D9 K) B3 J# R: H3 O. e/ O
B. OAS is the value of the embedded option. e6 U7 Q) c& ]- ~' y7 D' K7 A, C
C. OAS is Z-spread plus the option cost.' ?- v5 D) g+ D# u. I j0 z4 J% K
答案和详解，登录后回复可见：, D/ `: U" R. _; d" l8 ?
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
! ^: I, _3 `. K4 J6 ZA. Treasury security with short maturity in a flat yield curve environment
$ |3 Q8 n, q5 i3 P8 FB. zero coupon Treasury security. ) a0 [& i1 z: I j
C. mortgage-backed security in a steep upward-sloping yield curve environment
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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：
$ R' L9 J% P4 K: z' gA. maturity of the security is longer. + t0 Z0 t7 `# V
B. yield curve is flatter.
, r" x0 Q; Q0 w; jC. security has a bullet maturity rather than an amortizing structure.
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! d" n9 y& o# K3 Q" F14. 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：
d% a( D" s x% yA. 8.22%
7 [ b4 G2 S7 N9 v" _" \. g, MB. 8.49%.
; b# ~" u- y. t' d; p4 dC. 9.48%.( ?5 o/ s- F" \& e2 L) u5 ?# W
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. [( d2 W" C7 c! S0 o15. 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+ U3 c& R3 {+ H0 NA. held until maturity in 3 years.
0 V% H0 U! ^9 f) ~4 Z" p* kB. called in year 1.
0 N( d- c( t, J6 AC. called in year 2.
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发表于 2016-1-8 09:22:29
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