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11. Which of the following statement is correct about the option adjusted spread ( OAS )：5 Z1 l0 q1 u8 i$ f
A. OAS is Z-Spread minus the option cost.
5 c: \- U9 \. O4 i( V6 m$ T3 \B. OAS is the value of the embedded option. 3 ?' i- d1 k" E1 \
C. OAS is Z-spread plus the option cost.
9 K8 t H8 n+ X/ f+ u答案和详解，登录后回复可见：% M& _: I2 h7 n8 s
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：" r) [- }, v& \: K; S) X- @5 q
A. Treasury security with short maturity in a flat yield curve environment 6 d" ~ Q7 y$ O; l1 r
B. zero coupon Treasury security.
7 p! [/ u3 |- N' j1 t( uC. mortgage-backed security in a steep upward-sloping yield curve environment
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% l8 W6 d! C3 z2 g6 }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：
2 e. J) S, M A' c8 l1 |$ Y" [ }A. maturity of the security is longer.
- H& S: |- E: O1 F% eB. yield curve is flatter. 4 G3 O: ^2 D5 f6 U) S! ]
C. security has a bullet maturity rather than an amortizing structure.
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/ n8 r: h# X( U* {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：
. J0 v" D- X+ Y4 |& ]2 eA. 8.22%
. M+ I! h) p# x1 uB. 8.49%. * ?5 z6 @- V" f8 m3 o
C. 9.48%.
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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：
/ F: u4 x# V+ Q* T7 y. v* O! BA. held until maturity in 3 years. & e n( f* M! |' n% x3 V: `
B. called in year 1. 3 ?9 X# ?: G! o5 M- ?
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
