|
|
11. Which of the following statement is correct about the option adjusted spread ( OAS )：
& o! t! l; f+ U" VA. OAS is Z-Spread minus the option cost.
4 ?) I) y* Z6 k mB. OAS is the value of the embedded option. ( }, B& F/ a' I( D4 ^
C. OAS is Z-spread plus the option cost. V9 |* r0 ^$ H+ E, u2 k
答案和详解，登录后回复可见：
7 n H* V ]! W$ i) g' K2 v) ~: J: |! }2 i, ^
4 T' x% ~- D3 v2 e1 Z: C0 ^12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
`8 R2 W+ T3 I% KA. Treasury security with short maturity in a flat yield curve environment
2 c0 `& h. c1 W. t- OB. zero coupon Treasury security. " A( a! O6 C( l- L& G4 S# K( b
C. mortgage-backed security in a steep upward-sloping yield curve environment. S: x( D+ Q, ^4 h
+ h ?7 w5 O4 \
: _7 k" I- M( W9 M9 Q13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
. K# P4 ?/ n( Z4 W# Y% i9 I; u/ fA. maturity of the security is longer. $ ?! c7 `/ b; s4 o3 p g4 R! l7 e4 u
B. yield curve is flatter. + w) N/ e4 q3 F! A1 I) n5 @
C. security has a bullet maturity rather than an amortizing structure.
* D% |1 [. B {* {3 E1 a
# G7 `& B! o# H% ?; d5 b+ u# Z4 V0 O
! U6 Q0 j, a2 k& l14. 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 $98 today, the yield to call is closest to：
+ A9 s' _& p' @! c( P7 jA. 8.22%
3 K! ^) X2 F# R! j: D+ w9 M- zB. 8.49%. 4 ~3 P. [1 ~1 c% j& F# Y
C. 9.48%.9 i6 J) x. a3 ]3 @* m$ R k9 p+ d4 @
. V" u+ i% s; t6 D$ ]- l' ~: }2 |3 @1 a
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 $1,005. The bond’s yield to worst most likely occurs when the bond is：5 P4 s& `6 z, I# D1 g
A. held until maturity in 3 years. + d# H% b# _! f+ p; o7 W8 N
B. called in year 1.
3 E6 x5 h& R( [9 Q% G6 KC. called in year 2.
6 i: T' A' s$ K0 i$ P) @8 h/ K- q5 |1 g3 j! W
# ^. H2 H5 r* B+ B( D$ w. ^
更多CFA习题可关注：高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
) t, D' w. l+ N0 n$ c4 G5 d关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得' U( R1 J. p% }; v
w8 \) F' ~9 u6 p' t( \/ L |
|
[复制链接]
发表于 2016-1-8 09:22:29
发表于 2016-4-2 07:37:07
