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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
5 o9 i8 K; R3 X1 n* WA. OAS is Z-Spread minus the option cost.
% f8 m, `6 c! l" EB. OAS is the value of the embedded option.
% `8 x0 z, K7 B2 hC. OAS is Z-spread plus the option cost.
$ ]2 m$ t" `& G7 m/ a* E9 a3 v答案和详解，登录后回复可见：) W+ P/ w1 h7 \) |+ j4 E8 r
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：& T3 p6 n2 ?6 m& Y3 a* s3 y
A. Treasury security with short maturity in a flat yield curve environment
6 M! p6 n, i, H4 }4 tB. zero coupon Treasury security.
! f5 l% q0 T7 p$ i& Q ?C. mortgage-backed security in a steep upward-sloping yield curve environment+ J* ^( j" W2 }, ~! E
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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：, [5 c- `! g" N) E& n5 C* E2 |
A. maturity of the security is longer. : P; k% U5 S8 C& E) C
B. yield curve is flatter.
0 k6 s% L( m+ w/ VC. 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 $98 today, the yield to call is closest to：
( p2 {0 j6 K4 R( K( c' d3 |A. 8.22%
7 E2 x- g4 @- n5 EB. 8.49%.
! Q/ _" r! J8 v3 c+ y2 {3 VC. 9.48%.2 w. O* z: r/ l, M+ j8 u/ [ @* Z
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$ |8 Q" F, M/ ]1 ?5 B15. 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：
4 W0 g, A! l) BA. held until maturity in 3 years.
2 [3 r. V9 ~, [5 M' y0 j9 _# v, sB. called in year 1. # o( Y3 F7 L. B' n2 |. G1 l+ p
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
