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11. Which of the following statement is correct about the option adjusted spread ( OAS )：, P/ C( J6 d+ S* e% V
A. OAS is Z-Spread minus the option cost.
9 D& L% p4 N0 ^B. OAS is the value of the embedded option. p& G5 x4 m9 G- [
C. OAS is Z-spread plus the option cost.
9 W3 s2 f6 N6 u& c4 }- l答案和详解，登录后回复可见：- h: u. o6 c# L$ U
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+ y8 d6 l/ ?& W6 L12. The difference between Z-spread and nominal spread will most likely be the most significant for a：' b: t" K# n( g4 Y3 c4 y& z
A. Treasury security with short maturity in a flat yield curve environment : K4 [7 G9 C7 e$ u! X3 ]) u" _
B. zero coupon Treasury security.
{; m B1 s* q4 _0 }* ~+ z. w) {C. mortgage-backed security in a steep upward-sloping yield curve environment
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+ i. I1 S. w; U# _; 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：/ _2 Q/ J- @ n1 l; W8 `
A. maturity of the security is longer. . u; O* r) |6 }$ |, o
B. yield curve is flatter. . r& t/ l+ [- z; J$ |: C2 A7 W
C. security has a bullet maturity rather than an amortizing structure. 1 e2 K( P* {, B8 L( n4 _$ [2 m
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( e$ ~3 \2 T: m: [: Z14. 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 $98 today, the yield to call is closest to：" a+ \- l0 W5 z* t9 j
A. 8.22%
i) c$ e' o" ~# F4 T1 O# n5 u* YB. 8.49%.
9 S, [$ z' X* O8 VC. 9.48%.9 n3 O) D6 {; F8 V
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; t# t3 v- H& a- E' 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：
* x8 u9 L& F+ b1 u5 R; sA. held until maturity in 3 years. * N+ o; G* h7 g5 t$ c0 V( M( ]
B. called in year 1.
1 w! X4 G7 K0 _C. called in year 2.* ?: [1 A& U' e3 n
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发表于 2016-1-8 09:22:29
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